Rating: ***
Tags: Business & Economics, Finance, General, Statistics, Mathematics, Probability & Statistics, Science, Physics, Lang:en
Publisher: Cambridge University Press
Added: August 26, 2020
Modified: November 5, 2021
Summary
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.