The statistical mechanics of financial markets

J. Voit

302 pages, parution le 23/05/2003 (2^eme édition)

Ajouter à une liste

Indisponible

Résumé

"Provides an excellent introduction for physicists interested in the statistical properties of financial markets... basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined... an excellent starting point for the interested physicist."
PHYSICS TODAY

This introductory treatment describes parallels between statistical physics and finance, both long established and new research results on capital markets. Forming the core of Voit's treatment are the concepts of random walks, scaling of data, and risk control. Voit discusses the underlying assumptions using empirical financial data and analogies to physical models such as fluid flows and turbulence. He formulates theories of derivative pricing and risk control, and shows how computer simulations of markets provide insights into price fluctuations and how crashes are modelled in ways analogous to phase transitions.

This corrected edition has been updated with several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game.

Contents

Introduction
Basic Information on Capital Markets
Random Walks in Finance and Physics
The Black--Scholes Theory of Option Prices
Scaling in Financial Data and in Physics
Turbulence and Foreign Exchange Markets
Risk Control and Derivative Pricing in Non-Gaussian Markets
Microscopic Market Models
Theory of Stock Exchange Crashes

Appendix
Notes and References
Index

L'auteur - J. Voit

Deutscher Sparkassen- und Giroverband, Bonn, Germany

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	J. Voit
Parution	23/05/2003
Édition	2^eme édition
Nb. de pages	302
Format	15,5 x 23,5
Couverture	Broché
Poids	460g
Intérieur	Noir et Blanc
EAN13	9783540009788