Theory of financial risk and derivative pricing from statistical physics to risk management - Bouchaud, Jean-Philippe, 1962-; Potters, Marc, 1969-; Bouchaud, Jean-Philippe, 1962-; Safari eBooks (Cambridge, UK ; New York : Cambridge University Press, 2009)
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.
Description based on print version record.
Rev. ed. of: Theory of financial risks. 2000.
Includes bibliographical references and indexes.
Keywords: Finance; Financial engineering; Risk assessment; Risk management; Electronic books