Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management
Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management. Jean-Philippe Bouchaud
Published Date: 02 Apr 2019
Publisher: CAMBRIDGE UNIVERSITY PRESS
Language: English
Book Format: Paperback::400 pages
ISBN10: 0521741866
Publication City/Country: Cambridge, United Kingdom
File size: 23 Mb
Dimension: 175x 248x 20mm::790g
MicroReviews the Book Review Editor: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management, 2nd edition: Jean-Philippe Bouchaud and Marc Potters
Research on Financial Risk Management Based on VAR Model Xingchen Li* Economics and Management School, Wuhan University, Wuhan, Hubei, China Abstract: VaR is a widely- applied tool in the international financial risk management area, and it is also a new technical standard for measuring financial risk. VAR model was first used to measure market
inspired statistical physics in the description of the potenzial moves in finanzial market and its application to derivative pricing and risk control. Starting with important results in probability theory, we discuss the statistical analysis of real data and the empirical determination of statistical laws. In particulary we present: 1
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Titel: Theory of financial risk and derivative pricing - from statistical physics to risk management (2nd ed.) Autor/-in: Breymann, Wolfgang. Erschienen in: Journal
Download this great ebook and read the Theory Of Financial Risk And Derivative Pricing From. Statistical Physics To Risk Management ebook. You won't find
Summarizing market data developments, some inspired 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
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
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Theory of financial risk and derivative pricing:from statistical physics to risk management. : Jean-Philippe Bouchaud.Contributor(s): Marc
Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management eBook: Jean-Philippe Bouchaud, Marc Potters: Kindle
Read "Theory of Financial Risk and Derivative Pricing From Statistical Physics to Risk Management" Jean-Philippe Bouchaud available from Rakuten Kobo. Sign up today and get $5 off your first purchase. Risk control and derivative pricing have become of major concern to financial institutions, and
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Theory of Financial Risk andDerivative PricingFrom Statistical Physics to Risk Managementsecond We hope that thecontent of this book can be useful to all quants concerned with financial risk control andderivative pricing,
Theory of financial risk and derivative pricing:from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. HG 101 B68 2009 The hour between dog and wolf:risk-taking, gut feelings and the biology of boom and bust / John Coates.
Marc Potters has been Head of Research at CFM since 1998, where he supervises thirty physics PhD's. He has published numerous articles in the new field of statistical finance, in particular on Random Matrix Theory applied to portfolio management. He works on various concrete applications of financial forecasting, option pricing and risk control.
Key personnel include Adam Hartley, a theoretical atomic physicist from Oxford. The staff all have PhDs in statistical physics. Indeed, the markets can be seen as risk exchanges in which players are always trying to reduce risk. To reduce risk, manage debt and set prices for derivatives based on
THEORY OF FINANCIAL RISKS FROM STATISTICAL PHYSICS TO RISK MANAGEMENT This book summarizes recent theoretical developments inspired statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path
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Theory of Financial Risk and Derivative Pricing From Statistical Physics to Risk Management second edition Jean-Philippe Bouchaud and Marc.
Jean-Philippe Bouchaud (born 1962) is a French physicist. He is founder and Chairman of Capital Fund Management (CFM), professor of physics at École After teaching statistical mechanics for ten years at ESPCI, he was appointed in 2009 as Theory of Financial Risk and Derivative Pricing, J-P Bouchaud, M. Potters
Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent
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derivatives is the traditional one of Black and Scholes, where the whole pricing methodology is based on the construction of riskless strategies. The idea of zero risk is counter-intuitive and the reason for the existence of these riskless strategies in the Black-Scholes theory is buried in the premises of Ito s stochastic differential rules.
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Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management - Jean-Philippe Bouchaud, Marc Potters - ISBN: 9780521263368.
Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management, Jean-Philippe Bouchaud, Marc Potters, Cambridge University Press, 2003, 1139440276, 9781139440271, 379 pages. Summarizing market data developments, some inspired statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation,
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