Theory of financial risk and derivative pricing :
Bouchaud, Jean-Philippe, 1962-
Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. - 2nd ed. - Cambridge : Cambridge University Press, 2003. - xx, 379 p. : ill. ; 25 cm.
Rev ed of: Theory of financial risk. 2000.
Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.
0521819164
Finance.
Financial engineering.
Risk assessment.
Risk management.
HG 101 / .B66 2003
Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. - 2nd ed. - Cambridge : Cambridge University Press, 2003. - xx, 379 p. : ill. ; 25 cm.
Rev ed of: Theory of financial risk. 2000.
Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.
0521819164
Finance.
Financial engineering.
Risk assessment.
Risk management.
HG 101 / .B66 2003
