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Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management Book
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ASDA
Summarizes recent theoretical developments in statistical tools to measure financial markets for students and professionals in econophysics and analytical markets.
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Book Description
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. Theory of Financial Risk and Derivative Pricing summarises developments, some inspired by statistical physics, using which one can take into account more faithfully the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.
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Product 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
- 0521819164
- 9780521819169
- Jean-Philippe Bouchaud, Marc Potters
- 11 December 2003
- Cambridge University Press
- Hardcover (Book)
- 400
- 2
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