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Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

Hardcover

Business GeneralInvesting & Finance

ISBN10: 0521819164
ISBN13: 9780521819169
Publisher: Cambridge University Press
Published: Dec 11 2003
Pages: 379
Weight: 2.10
Height: 1.00 Width: 6.80 Depth: 9.88
Language: English
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.

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Investing & Finance