Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management
Editorial Reviews
Review
'The authors dutifully thread the relations between different financial securities and statistical estimation, rewarding the reader with an understanding that could never be obtained from a purely statistical text ... the feeling one is left with after putting the book down is one of time well spent.' Risk
From review of the first edition: '... provides a very useful stepping stone to understand the limitations of the Black-Scholes world to that of a more generalized theory of financial markets ... Bouchard and Potters will then provide the reader with an insight and generalization that they may otherwise miss with direct application of more 'traditional' theory to the financial markets. To the experienced reader of financial theory, the book provides a useful reminder of the limitations of traditional theories and a number of useful tools that can be used in the more generalized world of financial risk.' David A. Scott C. Math. FIMA, Mathematics Today
'This book does not try to be a comprehensive text on theoretical finance, but instead picks out classical problems in finance that are overlooked by the generalizations introduced by beautiful, ideal models such as the Black and Scholes model and discusses tools, concepts and paradigms of statistical finance that can contribute to the resolution of such problems ... However, given the themes treated by the book and the expertise and knowledge of the authors, Theory of Financial Risks should certainly find a place on the bookshelves of professionals in risk management who are interested in new quantitative methods of risk minimization.' Rosario Mantegna, Institute of Physics
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. First edition Hb (2000): 0-521-78232-5
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,Jean-Philippe Bouchaud,Marc Potters,Cambridge University Press,0521819164,Business & Economics,Business/Economics,Corporate Finance,Finance,Financial engineering,Physics,Risk assessment,Risk management,Science,Probability & statistics,Risk assessment & analysis for business,Science / Physics,Statistical physics
Books Info:
Recommended Books