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Cambridge《金融风险和衍生品定价理论》
Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (Hardcover)
by Jean-Philippe Bouchaud (Author), Marc Potters (Author)
Book Description
Summarizing market data developments, some inspired by 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 moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.
Contents
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 fluctuation
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
[此贴子已经被作者于2008-9-15 8:32:34编辑过]
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