Theory of financial risk and derivative pricing: from statistical physics to risk management

CONTENTS: Foreword. Preface. 1. Probability theory: basic notions. 2. Maximumand addition of random variables. 3. Continuous time limit, ito colculus 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 fluctuations. 8. Skewness and price-Volatility correlations. 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. Index.

• ISBN: 978-0-521-74186-6
• Editorial: Cambridge University Press
• Encuadernacion: Rústica
• Páginas: 379
• Fecha Publicación: 01/03/2009
• Nº Volúmenes: 1
• Idioma: Inglés