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The Statistical Mechanics of Financial Markets
Hardcover
Series: Theoretical and Mathematical Physics
Business GeneralGeneral MathematicsPhysics
ISBN13: 9783540262855
Publisher: Springer
Published: Oct 21 2005
Pages: 378
Weight: 1.53
Height: 1.05 Width: 6.43 Depth: 9.30
Language: English
The third edition of this highly praised reference offers new chapters on the basic notions and tools of risk management, and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. This approach permits the formulation of novel methods for derivative pricing and risk management.
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