ISBN 9780521263368,Theory Of Financial Risk And Derivative Pricing

Theory Of Financial Risk And Derivative Pricing



Cambridge University Press

Publication Year 2011

ISBN 9780521263368

ISBN-10 0521263360


Edition 2nd
Number of Pages 400 Pages
Language (English)


Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising recent theoretical developments in the field, this second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.