Theory of financial risk and derivative pricing [electronic resource] : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters.
2009, c2003Edition: 2nd edDescription: 1 online resource (1 v.) : illSubject(s): Genre/Form: Additional physical formats: Print version:: Theory of financial risk and derivative pricing.Online resources:
eBooks
Description based on print version record.
Rev. ed. of: Theory of financial risks. 2000.
Includes bibliographical references and indexes.
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 fluctuations -- 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.