E Book

The Statistical Mechanics of Financial Markets

---

Basic Information on Capital Markets -- Random Walks in Finance and Physics -- The Black-Scholes Theory of Option Prices -- Scaling in Financial Data and in Physics -- Turbulence and Foreign Exchange Markets -- Derivative Pricing Beyond Black—Scholes -- Microscopic Market Models -- Theory of Stock Exchange Crashes -- Risk Management -- Economic and Regulatory Capital for Financial Institutions.This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.

---

Ketersediaan

Tidak ada salinan data

Informasi Detail

Judul Seri

-

No. Panggil

-

Penerbit

Berlin : Springer., 2005

Deskripsi Fisik

XVI, 378 p.online resource.

Bahasa

English

ISBN/ISSN

9783540262893

Klasifikasi

519

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

3rd ed.

Subjek

Statistics .
Statistical physics.
Dynamical systems.
Complex Systems.
Statistical Physics and Dynamical Systems.
Economic theory.
Economic Theory/Quantitative Economics/Mathematical Methods.
Game theory.
Game Theory, Economics, Social and Behav. Sciences.
Statistics for Business, Management, Economics, Finance, Insurance.

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Johannes Voit.

Versi lain/terkait

Lampiran Berkas

Komentar

---

Anda harus masuk sebelum memberikan komentar