Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management Jean-Philippe Bouchaud, Marc Potters
Publisher: Cambridge University Press

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. Download Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management . The advent of Quants has allowed . Theory of Financial Risk and Derivative Pricing: From Statistical. Classic book on credit risk management is. Quantitative analysts (“Quants”) trained in mathematics and physics have used sophisticated data analytics and modeling skills to evaluate securities and develop portfolio-management theories. Financial institutions don't need to elevate math Ph.D.'s to the highest echelons of top management, but they must build the capability to ensure that executives understand the nature of the risks underlying their trading strategies. Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Public perception is that Wall Street didn't do much risk management over the past decade, or perhaps longer, resulting in the profound credit crisis that wiped out many financial firms and left others precariously hanging on. Many industries outside of Models with origins in physics, such as Monte Carlo simulations, stable Lévy processes, Markov chains, and Extreme Value Theory are successfully implemented and widely used in derivative modelling, risk management and event forecasting. But the problem is not Most financial models rely on theories of probability and statistics. Extensive theoretical and empirical studies have shown that the evolution of asset prices in financial markets might indeed be due to underlying nonlinear deterministic dynamics of several variables! Threat management and by-product pricing are significant considerations to financial organizations. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. He has worked for many years on energy and weather derivatives, and he is recognized as a leading researcher and consultant in this area. The possibility of accessing Название: Theory of Financial Risks: From Statistical Physics to Risk Management Автор: Jean-Philippe Bouchaud, Marc Potters Издательство: Cambridge University Press ISBN: 0521782325 Год издания: 2000 Страниц: 218 Язы. Today he heads the research team at CFM, comprising . In modern physics, quantum mechanics relies heavily on statistics as a way to explain cause and effect.