Theory of Financial Risk and Derivative Pricing

From Statistical Physics to Risk Management

Jean-Philippe Bouchaud, Marc Potters

380 pages, parution le 15/01/2004 (2^eme édition)

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Résumé

Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarises recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control.

L'auteur - Jean-Philippe Bouchaud

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Sommaire

Probability theory: basic notions
Maximum and addition of random variables
Continuous time limit, Ito calculus and path integrals
Analysis of empirical data
Financial products and financial markets
Statistics of real prices: basic results
Non-linear correlations and volatility fluctuation
Skewness and price-volatility correlations
Cross-correlations
Risk measures
Extreme correlations and variety
Optimal portfolios
Futures and options: fundamental concepts
Options: hedging and residual risk
Options: the role of drift and correlations
Options: the Black and Scholes model
Options: some more specific problems
Options: minimum variance Monte Carlo
The yield curve
Simple mechanisms for anomalous price statistics

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Jean-Philippe Bouchaud, Marc Potters
Parution	15/01/2004
Édition	2^eme édition
Nb. de pages	380
Format	18 x 25
Couverture	Relié
Poids	945g
Intérieur	Noir et Blanc
EAN13	9780521819169
ISBN13	978-0-521-81916-9