Theory of financial risks : from statistical physics to risk management
The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book summarizes recent theoretical developments inspired by statistic...
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| Tác giả chính: | |
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| Định dạng: | Sách |
| Ngôn ngữ: | Undetermined |
| Được phát hành: |
Cambridge [England],New York
Cambridge University Press
2000
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| Những chủ đề: | |
| Các nhãn: |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
|---|
| LEADER | 01734nam a2200217Ia 4500 | ||
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| 008 | 210402s9999 xx 000 0 und d | ||
| 020 | |c 275.81 | ||
| 082 | |a 658.15 | ||
| 082 | |b B752 | ||
| 100 | |a Bouchaud, Jean-Philippe | ||
| 245 | 0 | |a Theory of financial risks : | |
| 245 | 0 | |b from statistical physics to risk management | |
| 245 | 0 | |c Jean-Philippe Bouchaud and Marc Potters | |
| 260 | |a Cambridge [England],New York | ||
| 260 | |b Cambridge University Press | ||
| 260 | |c 2000 | ||
| 520 | |a The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. 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. It 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 | ||
| 650 | |a Finance,Financial engineering,Risk assessment,Risk management,Quản lý tài chính,Đánh giá rủi ro,Quản lý rủi ro | ||
| 910 | |a Nguyên | ||
| 980 | |a Trung tâm Học liệu Trường Đại học Cần Thơ | ||