The Statistical Mechanics of Financial Markets
This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is a...
Αποθηκεύτηκε σε:
| Κύριος συγγραφέας: | |
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| Μορφή: | Livre numérique |
| Γλώσσα: | Anglais |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Έκδοση: | 3rd Editon. |
| Σειρά: | Texts and Monographs in Physics
Theoretical and Mathematical Physics |
| Θέματα: | |
| Διαθέσιμο Online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Σημείωση: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • The statistical mechanics of financial markets, Johannes Voit, 3rd edition, 2005, Berlin, Springer, 1 vol. (XV-378 p.), Texts and monographs in physics, 3-540-26285-7 |
| Περίληψη: | This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come |
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| Περιγραφή τεκμηρίου: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783540262893 |
| ISSN: | 0172-5998 1864-5887 |
| Πρόσβαση: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |