Physics of Finance
Gauge Modelling in Non-equilibrium Pricing
Résumé
Arguably one of the newest and most controversial approaches in financial analysis, this book uses techniques from modern physics to develop an altogether original method for pricing financial assets. Not only does the author use gauge theories from physics to take a new look at market equilibrium, his new financial model links the concepts of standard pricing and technical analysis, bridging the gap between "quants" (those who traditionally use pricing models) and traders (those who use trading strategies). He also lets the reader relate his pricing model specifically to derivatives and tests his ideas on markets that are far from a state of equilibrium, usually during bubbles or crashes. Throughout the book, examples are used from the S&P 500 market index, the Hang Seng, FTSE100, and ISDEX.
Contents
- Introduction
- Fibre bundles in finance: first contact
- Fibre bundles: mathematics
- Fibre bundles: physics
- Fibre bundles in finance: gauge field dynamics
- Dynamics of fast money flows: I
- Dynamics of fast money flows: II
- Virtual arbitrage pricing theory
- Derivatives
- Conclusions
- Glossary
- References
- Index
L'auteur - Kirill Illinski
Kirill Illinski is Post Doctorate Research Fellow in the
School of Physics and Space Research at the University of
Birmingham, as well as Senior Researcher at the Russian
Academy of Sciences, Moscow.
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Wiley |
| Auteur(s) | Kirill Illinski |
| Parution | 15/12/2000 |
| Nb. de pages | 326 |
| Format | 17 x 25 |
| Couverture | Relié |
| Poids | 724g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780471877387 |
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