Theory of Financial Risk and Derivative Pricing PDF (Adobe DRM) download by Jean-Philippe Bouchaud

Theory of Financial Risk and Derivative Pricing

Cambridge University Press
Publication date: December 1999
ISBN: 9780511055188
Digital Book format: PDF (Adobe DRM)

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Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarises recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control.
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