<電子ブック>
The Statistical Mechanics of Financial Markets

責任表示
著者
本文言語
出版者
出版年
出版地
関連情報
概要 From the reviews - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as s...horts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader's understanding of what may be a plethora of new terms and ideas... [This is] an excellent starting point for the physicist interested in the subject. Some of the book's strongest features are its careful definitions, it detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY, August 2002 "This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This textbook describes 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 capital markets. The random walk, 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, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game.続きを見る
目次 1. Introduction
2. Basic Information on Capital Markets
3. Random Walks in Finance and Physics
4. The Black-Scholes Theory of Option Prices
5. Scaling in Financial Data and in Physics
6. Turbulence and Foreign Exchange Markets
7. Risk Control and Derivative Pricing in Non-Gaussian Markets
8. Microscopic Market Models
9. Theory of Stock Exchange Crashes
Notes and References.
本文を見る Full text available from SpringerLink ebooks - Physics and Astronomy (Archive)

詳細

レコードID
主題
SSID
eISBN
登録日 2020.06.27
更新日 2020.06.28