Theory of Financial Risk and Derivative Pricing
From Statistical Physics to Risk Management 2nd Revised edition
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Theory of Financial Risk and Derivative Pricing by Jean-Philippe Bouchaud
Book DescriptionRisk 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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Book DetailsISBN: 9780521819169
(247mm x 174mm x 22mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 11-Dec-2003
Country of Publication: United Kingdom
Books By Author Jean-Philippe Bouchaud
Market Microstructure, Hardback (April 2012)
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance.
Dynamical Heterogeneities in Glasses, Colloids, and Granular Media, Hardback (July 2011)
Most everyday solid materials, from plastics to cosmetic gels, exist in a non-crystalline, amorphous form: they are glasses. Yet we are still seeking an explanation as to what glasses really are and to why they form. In this book, leading experts present broad and original perspectives on one of the deepest mysteries of condensed matter physics.
Theory of Financial Risk and Derivative Pricing, Paperback (January 2009)
This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.
Complex Systems, Hardback (August 2007)» View all books by Jean-Philippe Bouchaud
Suitable for students and researchers with various backgrounds: probability theory, computer science, information theory, physics, finance and biology, this book features survey of the interdisciplinary field of 'Complex Systems'.
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Author Biography - Jean-Philippe Bouchaud
Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Ecoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996. 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.
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