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Physics of Finance

Physics of Finance

Gauge Modelling in Non-equilibrium Pricing

Kirill Illinski

326 pages, parution le 15/12/2000

Résumé

Uncover an innovative new method of applying contemporary techniques from physics into the financial world.

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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