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E-BOOK
Title Theory of financial risks : from statistical physics to risk management / Jean-Philippe Bouchaud and Marc Potters.
Imprint Cambridge ; New York, NY ; Port Melbourne, Australia : Cambridge University Press, 2000.
©2003

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Description 1 online resource (xiii, 218 pages) : illustrations
Bibliog. Includes bibliographical references and indexes.
Note Available only to authorized UTEP users.
English.
Print version record and online resource.
Subject Finance.
Financial engineering.
Risk assessment.
Risk management.
Genre Electronic books.
Electronic books.
Contents 1. Probability theory: basic notions -- 2. Statistics of real prices -- 3. Extreme risks and optimal portfolios -- 4. Futures and options: fundamental concepts -- 5. Options: some more specific problems.
Summary "This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.
Other Author Potters, Marc, 1969- author.
Other Title Print version: Bouchaud, Jean-Philippe, 1962- Theory of financial risks. Cambridge [England] ; New York : Cambridge University Press, 2000 0521782325