Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

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    Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

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    Number of Pages: 400
    Format(s): Paperback - ISBN: 9780521741866
    Publication Date:
    Listed in: Risk assessment, Finance, Management decision making, Budgeting & financial management, Statistical physics
    Publisher: CAMBRIDGE UNIVERSITY PRESS

    Books by Marc Potters

    Paperback

    RRP: £38.99

    Sale Price: £35.60

    Save: £3.39 per copy!

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