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Theory of financial risks : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters.
- Format:
- Book
- Author/Creator:
- Bouchaud, Jean-Philippe, 1962-
- Language:
- English
- Subjects (All):
- Finance.
- Financial engineering.
- Risk assessment.
- Risk management.
- Physical Description:
- 1 online resource (234 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Cambridge [England] ; New York : Cambridge University Press, 2000.
- Language Note:
- English
- Summary:
- This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. This book will be of interest to physicists, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
- Contents:
- Preliminaries; Contents; Foreword; Preface; 1 Probability theory: basic notions; 2 Statistics of real prices; 3 Extreme risks and optimal portfolios; 4 Futures and options: fundamental concepts; 5 Options: some more specific problems; Short glossary of financial terms; Index of symbols; Index
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and indexes.
- ISBN:
- 0-511-04623-5
- 0-511-15125-X
- 0-511-01028-1
- OCLC:
- 70738663
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