Theory of financial risk and derivative pricing :: from statistical physics to risk management /
Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, howev...
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Hauptverfasser: | , |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Cambridge :
Cambridge University Press,
2003.
|
Ausgabe: | Second edition. |
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance. |
Beschreibung: | Revised edition of: Theory of financial risks. 2000. |
Beschreibung: | 1 online resource (xx, 379 pages) : illustrations |
Bibliographie: | Includes bibliographical references and indexes. |
ISBN: | 9780511061516 051106151X 9780511055188 0511055188 9780511753893 0511753896 9780511205620 0511205627 1107135680 9781107135680 1139636995 9781139636995 1280430575 9781280430572 0511169647 9780511169649 0511069979 9780511069970 0511308485 9780511308482 |
Internformat
MARC
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100 | 1 | |a Bouchaud, Jean-Philippe, |d 1962- |e author. |0 http://id.loc.gov/authorities/names/no00076243 | |
245 | 1 | 0 | |a Theory of financial risk and derivative pricing : |b from statistical physics to risk management / |c Jean-Philippe Bouchaud and Marc Potters. |
250 | |a Second edition. | ||
264 | 1 | |a Cambridge : |b Cambridge University Press, |c 2003. | |
264 | 4 | |c ©2003 | |
300 | |a 1 online resource (xx, 379 pages) : |b illustrations | ||
336 | |a text |b txt |2 rdacontent | ||
337 | |a computer |b c |2 rdamedia | ||
338 | |a online resource |b cr |2 rdacarrier | ||
347 | |a data file | ||
500 | |a Revised edition of: Theory of financial risks. 2000. | ||
504 | |a Includes bibliographical references and indexes. | ||
505 | 0 | 0 | |g 1. |t Probability theory: basic notions -- |g 2. |t Maximum and addition of random variables -- |g 3. |t Continuous time limit, Ito calculus and path integrals -- |g 4. |t Analysis of empirical data -- |g 5. |t Financial products and financial markets -- |g 6. |t Statistics of real prices: basic results -- |g 7. |t Non-linear correlations and volatility fluctuations -- |g 8. |t Skewness and price-volatility correlations -- |g 9. |t Cross-correlations -- |g 10. |t Risk measures -- |g 11. |t Extreme correlations and variety -- |g 12. |t Optimal portfolios -- |g 13. |t Futures and options: fundamental concepts -- |g 14. |t Options: hedging and residual risk -- |g 15. |t Options: the role of drift and correlations -- |g 16. |t Options: the Black and Scholes model -- |g 17. |t Options: some more specific problems -- |g 18. |t Options: minimum variance Monte-Carlo -- |g 19. |t The yield curve -- |g 20. |t Simple mechanisms for anomalous price statistics. |
520 | |a Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance. | ||
588 | 0 | |a Print version record and online resource. | |
546 | |a English. | ||
650 | 0 | |a Finance. |0 http://id.loc.gov/authorities/subjects/sh85048256 | |
650 | 0 | |a Financial engineering. |0 http://id.loc.gov/authorities/subjects/sh91003887 | |
650 | 0 | |a Derivative securities |x Prices |x Mathematical models. | |
650 | 0 | |a Risk assessment. |0 http://id.loc.gov/authorities/subjects/sh87002638 | |
650 | 0 | |a Risk management. |0 http://id.loc.gov/authorities/subjects/sh85114200 | |
650 | 2 | |a Risk Assessment |0 https://id.nlm.nih.gov/mesh/D018570 | |
650 | 2 | |a Risk Management |0 https://id.nlm.nih.gov/mesh/D012308 | |
650 | 6 | |a Finances. | |
650 | 6 | |a Ingénierie financière. | |
650 | 6 | |a Évaluation du risque. | |
650 | 6 | |a Gestion du risque. | |
650 | 6 | |a Instruments dérivés (Finances) |x Prix |x Modèles mathématiques. | |
650 | 7 | |a finance. |2 aat | |
650 | 7 | |a risk assessment. |2 aat | |
650 | 7 | |a risk management. |2 aat | |
650 | 7 | |a BUSINESS & ECONOMICS |x Insurance |x Risk Assessment & Management. |2 bisacsh | |
650 | 7 | |a Finance |2 fast | |
650 | 7 | |a Financial engineering |2 fast | |
650 | 7 | |a Derivative securities |x Prices |x Mathematical models |2 fast | |
650 | 7 | |a Risk assessment |2 fast | |
650 | 7 | |a Risk management |2 fast | |
650 | 7 | |a Kreditmarkt |2 gnd |0 http://d-nb.info/gnd/4073788-3 | |
650 | 7 | |a Risikotheorie |2 gnd |0 http://d-nb.info/gnd/4135592-1 | |
650 | 1 | 7 | |a Risk management. |2 gtt |
650 | 1 | 7 | |a Portfolio-theorie. |2 gtt |
650 | 1 | 7 | |a Derivaten (financiën) |2 gtt |
650 | 1 | 7 | |a Stochastische processen. |2 gtt |
700 | 1 | |a Potters, Marc, |d 1969- |e author. |0 http://id.loc.gov/authorities/names/nr94012169 | |
700 | 1 | |a Bouchaud, Jean-Philippe, |d 1962- |t Theory of financial risks. | |
776 | 0 | 8 | |i Print version: |a Bouchaud, Jean-Philippe, 1962- |t Theory of financial risk and derivative pricing. |b 2nd ed. |d Cambridge, UK ; New York : Cambridge University Press, 2003 |z 0521819164 |w (DLC) 2003044037 |w (OCoLC)51848388 |
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Datensatz im Suchindex
DE-BY-FWS_katkey | ZDB-4-EBA-ocn252505613 |
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adam_text | |
any_adam_object | |
author | Bouchaud, Jean-Philippe, 1962- Potters, Marc, 1969- |
author2 | Bouchaud, Jean-Philippe, 1962- |
author2_role | |
author2_variant | j p b jpb |
author_GND | http://id.loc.gov/authorities/names/no00076243 http://id.loc.gov/authorities/names/nr94012169 |
author_facet | Bouchaud, Jean-Philippe, 1962- Potters, Marc, 1969- Bouchaud, Jean-Philippe, 1962- |
author_role | aut aut |
author_sort | Bouchaud, Jean-Philippe, 1962- |
author_variant | j p b jpb m p mp |
building | Verbundindex |
bvnumber | localFWS |
callnumber-first | H - Social Science |
callnumber-label | HG101 |
callnumber-raw | HG101 .B68 2003 |
callnumber-search | HG101 .B68 2003 |
callnumber-sort | HG 3101 B68 42003 |
callnumber-subject | HG - Finance |
classification_rvk | QK 600 |
classification_tum | MAT 902f WIR 160f |
collection | ZDB-4-EBA |
contents | 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. |
ctrlnum | (OCoLC)252505613 |
dewey-full | 658.15/5 |
dewey-hundreds | 600 - Technology (Applied sciences) |
dewey-ones | 658 - General management |
dewey-raw | 658.15/5 |
dewey-search | 658.15/5 |
dewey-sort | 3658.15 15 |
dewey-tens | 650 - Management and auxiliary services |
discipline | Mathematik Wirtschaftswissenschaften |
edition | Second edition. |
format | Electronic eBook |
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id | ZDB-4-EBA-ocn252505613 |
illustrated | Illustrated |
indexdate | 2024-11-27T13:16:28Z |
institution | BVB |
isbn | 9780511061516 051106151X 9780511055188 0511055188 9780511753893 0511753896 9780511205620 0511205627 1107135680 9781107135680 1139636995 9781139636995 1280430575 9781280430572 0511169647 9780511169649 0511069979 9780511069970 0511308485 9780511308482 |
language | English |
oclc_num | 252505613 |
open_access_boolean | |
owner | MAIN DE-863 DE-BY-FWS |
owner_facet | MAIN DE-863 DE-BY-FWS |
physical | 1 online resource (xx, 379 pages) : illustrations |
psigel | ZDB-4-EBA |
publishDate | 2003 |
publishDateSearch | 2003 |
publishDateSort | 2003 |
publisher | Cambridge University Press, |
record_format | marc |
spelling | Bouchaud, Jean-Philippe, 1962- author. http://id.loc.gov/authorities/names/no00076243 Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. Second edition. Cambridge : Cambridge University Press, 2003. ©2003 1 online resource (xx, 379 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file Revised edition of: Theory of financial risks. 2000. Includes bibliographical references and indexes. 1. Probability theory: basic notions -- 2. Maximum and addition of random variables -- 3. Continuous time limit, Ito calculus and path integrals -- 4. Analysis of empirical data -- 5. Financial products and financial markets -- 6. Statistics of real prices: basic results -- 7. Non-linear correlations and volatility fluctuations -- 8. Skewness and price-volatility correlations -- 9. Cross-correlations -- 10. Risk measures -- 11. Extreme correlations and variety -- 12. Optimal portfolios -- 13. Futures and options: fundamental concepts -- 14. Options: hedging and residual risk -- 15. Options: the role of drift and correlations -- 16. Options: the Black and Scholes model -- 17. Options: some more specific problems -- 18. Options: minimum variance Monte-Carlo -- 19. The yield curve -- 20. Simple mechanisms for anomalous price statistics. Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance. Print version record and online resource. English. Finance. http://id.loc.gov/authorities/subjects/sh85048256 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Derivative securities Prices Mathematical models. Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Assessment https://id.nlm.nih.gov/mesh/D018570 Risk Management https://id.nlm.nih.gov/mesh/D012308 Finances. Ingénierie financière. Évaluation du risque. Gestion du risque. Instruments dérivés (Finances) Prix Modèles mathématiques. finance. aat risk assessment. aat risk management. aat BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Finance fast Financial engineering fast Derivative securities Prices Mathematical models fast Risk assessment fast Risk management fast Kreditmarkt gnd http://d-nb.info/gnd/4073788-3 Risikotheorie gnd http://d-nb.info/gnd/4135592-1 Risk management. gtt Portfolio-theorie. gtt Derivaten (financiën) gtt Stochastische processen. gtt Potters, Marc, 1969- author. http://id.loc.gov/authorities/names/nr94012169 Bouchaud, Jean-Philippe, 1962- Theory of financial risks. Print version: Bouchaud, Jean-Philippe, 1962- Theory of financial risk and derivative pricing. 2nd ed. Cambridge, UK ; New York : Cambridge University Press, 2003 0521819164 (DLC) 2003044037 (OCoLC)51848388 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=120696 Volltext |
spellingShingle | Bouchaud, Jean-Philippe, 1962- Potters, Marc, 1969- Theory of financial risk and derivative pricing : from statistical physics to risk management / 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. Finance. http://id.loc.gov/authorities/subjects/sh85048256 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Derivative securities Prices Mathematical models. Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Assessment https://id.nlm.nih.gov/mesh/D018570 Risk Management https://id.nlm.nih.gov/mesh/D012308 Finances. Ingénierie financière. Évaluation du risque. Gestion du risque. Instruments dérivés (Finances) Prix Modèles mathématiques. finance. aat risk assessment. aat risk management. aat BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Finance fast Financial engineering fast Derivative securities Prices Mathematical models fast Risk assessment fast Risk management fast Kreditmarkt gnd http://d-nb.info/gnd/4073788-3 Risikotheorie gnd http://d-nb.info/gnd/4135592-1 Risk management. gtt Portfolio-theorie. gtt Derivaten (financiën) gtt Stochastische processen. gtt |
subject_GND | http://id.loc.gov/authorities/subjects/sh85048256 http://id.loc.gov/authorities/subjects/sh91003887 http://id.loc.gov/authorities/subjects/sh87002638 http://id.loc.gov/authorities/subjects/sh85114200 https://id.nlm.nih.gov/mesh/D018570 https://id.nlm.nih.gov/mesh/D012308 http://d-nb.info/gnd/4073788-3 http://d-nb.info/gnd/4135592-1 |
title | Theory of financial risk and derivative pricing : from statistical physics to risk management / |
title_alt | 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. Theory of financial risks. |
title_auth | Theory of financial risk and derivative pricing : from statistical physics to risk management / |
title_exact_search | Theory of financial risk and derivative pricing : from statistical physics to risk management / |
title_full | Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. |
title_fullStr | Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. |
title_full_unstemmed | Theory of financial risk and derivative pricing : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters. |
title_short | Theory of financial risk and derivative pricing : |
title_sort | theory of financial risk and derivative pricing from statistical physics to risk management |
title_sub | from statistical physics to risk management / |
topic | Finance. http://id.loc.gov/authorities/subjects/sh85048256 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Derivative securities Prices Mathematical models. Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Assessment https://id.nlm.nih.gov/mesh/D018570 Risk Management https://id.nlm.nih.gov/mesh/D012308 Finances. Ingénierie financière. Évaluation du risque. Gestion du risque. Instruments dérivés (Finances) Prix Modèles mathématiques. finance. aat risk assessment. aat risk management. aat BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Finance fast Financial engineering fast Derivative securities Prices Mathematical models fast Risk assessment fast Risk management fast Kreditmarkt gnd http://d-nb.info/gnd/4073788-3 Risikotheorie gnd http://d-nb.info/gnd/4135592-1 Risk management. gtt Portfolio-theorie. gtt Derivaten (financiën) gtt Stochastische processen. gtt |
topic_facet | Finance. Financial engineering. Derivative securities Prices Mathematical models. Risk assessment. Risk management. Risk Assessment Risk Management Finances. Ingénierie financière. Évaluation du risque. Gestion du risque. Instruments dérivés (Finances) Prix Modèles mathématiques. finance. risk assessment. risk management. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. Finance Financial engineering Derivative securities Prices Mathematical models Risk assessment Risk management Kreditmarkt Risikotheorie Portfolio-theorie. Derivaten (financiën) Stochastische processen. |
url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=120696 |
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