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- DescriptionRisk 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 w cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Mirity Game. There are discussions on aspects of data analysis, financial products, n-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in ecophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
- Author BiographyJean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Ecoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996. Marc Potters has been Head of Research at CFM since 1998, where he supervises thirty physics PhD's. He has published numerous articles in the new field of statistical finance, in particular on Random Matrix Theory applied to portfolio management. He works on various concrete applications of financial forecasting, option pricing and risk control.
- Author(s)Jean-Philippe Bouchaud,Marc Potters
- PublisherCambridge University Press
- Date of Publication22/01/2009
- SubjectManagement & Business: General
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note20 tables
- Weight770 g
- Width174 mm
- Height247 mm
- Spine20 mm
- Format DetailsTrade paperback (US)
- Edition Statement2nd Revised edition
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