Ebook: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.


- Now expanded to include stochastic processes, data analysis, estimate techniques, path integrals, Ito calculus and much more


- New chapters cast a fresh look at derivative pricing, financial products and markets which is completely different from anything else available in the literature


- Contains a mixture of cutting edge results and basic knowledge to make for the most complete and up-to-date text on the subject