Theory of Financial Risks
Subtitle: From Statistical Physics to Risk Management
Edition: 1st edition
Publisher: Cambridge University Press
Published: January 15, 2000
Language: eng
Format: Hardcover
Number of pages: 218
ISBN-13: 9780521782326
Subjects: Budgeting & financial management; Condensed matter physics (liquids & solids); Science/Mathematics; Financial engineering; Financial Markets; Managerial Finance; Business & Economics; Business / Economics / Finance; Risk management; Risk assessment; Corporate Finance; Physics; Science / Physics; Finance
First sentence: Randomness stems from our incomplete knowledge of reality, from the lack of information which forbids a perfect prediction of the future.
Description: "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. 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."--BOOK JACKET.