Risk control and derivative pricing have become of major
concern to financial institutions, and there is a real need for
adequate statistical tools to measure and anticipate the amplitude
of the potential moves of the financial markets. Summarising
theoretical developments in the field, this 2003 second edition has
been substantially expanded. Additional chapters now cover
stochastic processes, Monte-Carlo methods, Black-Scholes theory,
the theory of the yield curve, and Minority Game. There are
discussions on aspects of data analysis, financial products,
non-linear correlations, and herding, feedback and agent based
models. This book has become a classic reference for graduate
students and researchers working in econophysics and mathematical
finance, and for quantitative analysts working on risk management,
derivative pricing and quantitative trading strategies.
目錄：
Foreword
Preface
1. Probability theory: basic notions
2. Maximum and addition of random variables
3. Continuous time limit, Ito calculus and path integrals
4. Analysis of empirical data
5. Financial products and financial markets
6. Statistics of real prices: basic results
7. Non-linear correlations and volatility fluctuations
8. Skewness and price-volatility correlations
9. Cross-correlations
10. Risk measures
11. Extreme correlations and variety
12. Optimal portfolios
13. Futures and options: fundamental concepts
14. Options: hedging and residual risk
15. Options: the role of drift and correlations
16. Options: the Black and Scholes model
17. Options: some more specific problems
18. Options: minimum variance Monte-Carlo
19. The yield curve
20. Simple mechanisms for anomalous price statistics
Index of most important symbols
Index
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