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Bouchaud J.-P., Potters M. — Theory of Financial Risks: From Statistical Physics to Risk Management
Bouchaud J.-P., Potters M. — Theory of Financial Risks: From Statistical Physics to Risk Management



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Название: Theory of Financial Risks: From Statistical Physics to Risk Management

Авторы: Bouchaud J.-P., Potters M.

Аннотация:

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 to 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.


Язык: en

Рубрика: Математика/Вероятность/Стохастические методы в финансах/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2000

Количество страниц: 218

Добавлена в каталог: 22.05.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Additive-multiplicative crossover      51
Arbitrage opportunity      133
Arbitrage opportunity, absence of (AAO)      138
arch      87 151
Asset      2
Bachelier formula      144
Basis point      133
Bid-ask spread      50 133 153
Binomial model      181
Black and Scholes formula      143
BOND      73 135
Bund      50
CAPM      120
Central Limit Theorem (CLT)      23
Characteristic function      6 21
Convolution      21
Correlations, inter-asset      76 82 204
Correlations, temporal      36 53 66 132
Cramer function      30
Cumulants      7 22
Delta      160 144 200
Distribution, cumulative      4 58
Distribution, exponential      15 17 115
Distribution, Frechet      18
Distribution, Gaussian      8
Distribution, Gumbel      17 95
Distribution, hyperbolic      14
Distribution, Levy      11
Distribution, log-normal      9
Distribution, Poisson      14
Distribution, power-law      8 122
Distribution, stable      22
Distribution, Student      15 32 49
Distribution, truncated Levy (TLD)      14 34 57
Diversification      103 111
Dividends      137 190
Drawdown      102
Effective number of asset      111
Efficiency      130
Efficient frontier      110
Eigenvalues      39 83 119
Explicative factors      118 122
Extreme value statistics      15 95
Fair price      134 139
Feedback      87
Forward      133
Forward rate curve (FRC)      73
Futures      50 9 133
Gamma      144 200
German mark (DEM)      49
Greeks      144 200
Heath — Jarrow — Morton model      73
Hedging      139
Hedging, optimal      152 158 174
Heteroskedasticity      49 151
Hull and White model      79
Hurst exponent      64 85
Image method      198
Independent Identically Distributed (IID)      16 36
information      27 112
Interest rates      72
Ito calculus      176
kurtosis      7 66 147
Large deviations      28
Market crash      3 179
Markowitz, H,      119
maturity      139
Mean      4
Mean absolute deviation (MAD)      5
Median      4
Mimetism      87
Moneyness      141
Non-stationarity      36 66 43 151
Option      139
Option, American      195
Option, Asian      193
Option, at-the-money      145
Option, barrier      197
Option, Bermudan      195
Option, call      139
Option, European      139
Option, put      192
Ornstein — Uhlenheck process      77
Over the counter (OTC)      153
Percolation      86
Portfolio of options      206
Portfolio, insurance      179
Portfolio, optimal      109 116
Power spectrum      56
Premium      139
Pricing kernel      173 182
Principal components      118
Probable gain      106
Quality ratio      102 164
Random matrices      39 82
Rank histogram      19
Resolvent      39
RETURN      108 171
Risk, residual      154 163
Risk, volatility      167 206
Risk, zero      136 164 179
Risk-neutral probability      173 182
Root Mean Square (RMS)      5
S&P 500 index      3 49
Saddle point method      30 37
Scale invariance      23 88
Self-organized criticality      86
Self-similar      22
Semi-circle law      41
Sharpe ratio      93
skewness      7
Spot rate      74
SPREAD      75
Stretched exponential      62
Strike price      139
tail      11 5 168
Tail, amplitude      12
Tail, covariance      122
Theta      144 200
Tick      3
Transaction costs      133 190
Underlying      133
Utility function      103
Value at Risk (VaR)      94 116 169 201
Vasicek model 73      77
Vega      144 00
Volatility      5 51 70 91
Volatility, hump      80
Volatility, implied      147
Volatility, smile      147
Volatility, stochastic      37 70 151 67
Wealth balance      135 140 186
Worst low      98
Zero-coupon      see "Bond"
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