Theory of Financial Risk and Derivative Pricing（I***N=9780521741866） mobi 下载 网盘 caj lrf pdf txt 阿里云

　　Risk control and derivative pricing have become of major

concern to financial instituti***, 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-Sc***s theory,

the theory of the yield curve, and Minority Game. There are

discussi*** on ***ects of data ***ysis, financial products,

non-linear correlati***, 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 ***ysts working on risk management,

derivative pricing and quantitative trading strategies.

Foreword

Preface

1. Probability theory: basic noti***

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 correlati*** and volatility fluctuati***

8. Skewness and price-volatility correlati***

9. Cross-correlati***

10. Risk measures

11. Extreme correlati*** and variety

12. Optimal portfolios

13. Futures and opti***: fundamental concepts

14. Opti***: hedging and residual risk

15. Opti***: the role of drift and correlati***

16. Opti***: the Black and Sc***s model

17. Opti***: some more specific problems

18. Opti***: 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 instituti***, 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-Sc***s theory, the theory of the yield curve, and Minority Game. There are discussi*** on ***ects of data ***ysis, financial products, non-linear correlati***, 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 ***ysts working on risk management, derivative pricing and quantitative trading strategies.