by
Bouchaud, Jean-Philippe, 1962- author.
Call Number
658.155 21
Publication Date
2003
Summary
Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
Format:
Electronic Resources
Relevance:
87256.7813
by
Chorafas, Dimitris N.
Call Number
332.632 22
Publication Date
2006
Format:
Electronic Resources
Relevance:
0.1474
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by
Koo, Hyeng Keun.
Call Number
658.152 23
Publication Date
2011
Summary
Financial engineering is defined as the application of mathematical methods to the solution of problems in finance. The recent financial crisis raised many challenges for financial engineers: not only were financially engineered products such as collateralized debt obligations and credit default swaps implicated in causing the crisis, but the risk management techniques developed by financial engineers appeared to fail when they were most desperately needed. This book is the first in a series describing research by a multidisciplinary team of economists, mathematicians and control theorists exp.
Format:
Electronic Resources
Relevance:
0.1231
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