東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Theory of Financial Risk and Derivat...

Bouchaud, Jean-Philippe.

FindBook

Google Book

Amazon

博客來

Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Theory of Financial Risk and Derivative Pricing :/
其他題名:	From Statistical Physics to Risk Management.
作者:	Bouchaud, Jean-Philippe.
其他作者:	Potters, Marc.
出版者:	Cambridge :Cambridge University Press, : 2003.,
面頁冊數:	401 p.
內容註:	Cover; Half-title; Title; Copyright; Contents; 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
內容註:	14 Options: hedging and residual risk15 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
標題:	Finance. -
電子資源:	http://dx.doi.org/10.1017/CBO9780511753893#Click here to view book
ISBN:	9780511753893# (electronic bk.)

Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.
Bouchaud, Jean-Philippe.

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.[electronic resource]. - 2nd ed. - Cambridge :Cambridge University Press,2003. - 401 p.

Cover; Half-title; Title; Copyright; Contents; 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

Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511753893# (electronic bk.)Subjects--Topical Terms:

542899
Finance.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG101 .B68 2003eb

Dewey Class. No.: 658.155

Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.
LDR:02232nmm a22003133u 4500 001 1809255
003 AU-PeEL
005 20090601202838.0
006 m d
007 cr mn---------
008 231221t2003 ||| s |||||||eng|d
020 $a 9780511753893# (electronic bk.)
020 $a 9780521819169 (print)
035 $a EBL218072
035 $a EBL218072
035 $a 1809255
040 $a AU-PeEL $c AU-PeEL $d AU-PeEL
050 0 0 $a HG101 .B68 2003eb
082 0 0 $a 658.155
100 1 $a Bouchaud, Jean-Philippe. $3 550925
245 1 0 $a Theory of Financial Risk and Derivative Pricing : $b From Statistical Physics to Risk Management. $h [electronic resource].
250 $a 2nd ed.
260 $a Cambridge : $b Cambridge University Press, $c 2003.
300 $a 401 p.
505 0 $a Cover; Half-title; Title; Copyright; Contents; 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
505 8 $a 14 Options: hedging and residual risk15 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
520 $a Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance. $3 542899
655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Potters, Marc. $3 1898710
710 2 $a Ebooks Corporation. $3 1314793
776 1 $z 9780521819169
856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511753893#