Theory of Financial Risk and Derivative Pricing

Theory of Financial Risk and Derivative Pricing

From Statistical Physics to Risk Management

eBook - 2003
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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.
Publisher: Cambridge :, Cambridge University Press,, 2003
Edition: Second edition
Copyright Date: Ă2003
ISBN: 9780511205620
0511205627
9780511753893
0511753896
9780511055188
0511055188
9780511061516
051106151X
0521741866
9780521741866
0521819164
9780521819169
Characteristics: 1 online resource (xx, 379 pages) : illustrations

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