Theory of Financial Risk and Derivative Pricing（ISBN=9780521741866） pdf snb 115盘 kindle 在线 下载 pmlz mobi

　　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.

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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书籍介绍

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.