Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management
2 Revised edition
Book Details
Format
Paperback / Softback
ISBN-10
0521741866
ISBN-13
9780521741866
Edition
2 Revised edition
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jan 22nd, 2009
Print length
400 Pages
Weight
770 grams
Dimensions
24.60 x 17.50 x 1.90 cms
Ksh 11,900.00
Manufactured on Demand
0 in stock
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The substantially expanded 2003 second edition of this ground-breaking book summarizes theoretical developments in statistical tools to measure financial markets. A classic reference for graduate students and researchers working in econophysics, and professionals in the analytical markets.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
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