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Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3662044234
Category : Science
Languages : en
Pages : 227
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Book Description
A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. 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.
Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3662044234
Category : Science
Languages : en
Pages : 227
Get Book Here
Book Description
A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. 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.
Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3662051257
Category : Mathematics
Languages : en
Pages : 298
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Book Description
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. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 354026289X
Category : Mathematics
Languages : en
Pages : 385
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Book Description
The present third edition of The Statistical Mechanics of Financial Markets is published only four years after the ?rst edition. The success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to ?nancial markets. I am very grateful to readers and reviewers for their positive reception and comments. Why then prepare a new edition instead of only reprinting and correcting the second edition? The new edition has been signi?cantly expanded, giving it a more pr- tical twist towards banking. The most important extensions are due to my practical experience as a risk manager in the German Savings Banks’ As- ciation (DSGV): Two new chapters on risk management and on the closely related topic of economic and regulatory capital for ?nancial institutions, - spectively, have been added. The chapter on risk management contains both the basics as well as advanced topics, e. g. coherent risk measures, which have not yet reached the statistical physics community interested in ?nancial m- kets. Similarly, it is surprising how little research by academic physicists has appeared on topics relating to Basel II. Basel II is the new capital adequacy framework which will set the standards in risk management in many co- tries for the years to come. Basel II is responsible for many job openings in banks for which physicists are extemely well quali?ed. For these reasons, an outline of Basel II takes a major part of the chapter on capital.
Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3540262857
Category : Business & Economics
Languages : en
Pages : 385
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Book Description
This highly praised introductory treatment describes the 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 financial markets. The random-walk technique, 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, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.
Author: Jean-Philippe Bouchaud
Publisher: Cambridge University Press
ISBN: 1139440276
Category : Business & Economics
Languages : en
Pages : 410
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Book Description
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 theoretical developments in the field, this 2003 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.
Author: Romualdo Pastor-Satorras
Publisher: Springer Science & Business Media
ISBN: 9783540403722
Category : Science
Languages : en
Pages : 232
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Book Description
Networks can provide a useful model and graphic image useful for the description of a wide variety of web-like structures in the physical and man-made realms, e.g. protein networks, food webs and the Internet. The contributions gathered in the present volume provide both an introduction to, and an overview of, the multifaceted phenomenology of complex networks. Statistical Mechanics of Complex Networks also provides a state-of-the-art picture of current theoretical methods and approaches.
Author: Luc T. Wille
Publisher: Springer Science & Business Media
ISBN: 3662089688
Category : Science
Languages : en
Pages : 369
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Book Description
This book provides a unique insight into the latest breakthroughs in a consistent manner, at a level accessible to undergraduates, yet with enough attention to the theory and computation to satisfy the professional researcher Statistical physics addresses the study and understanding of systems with many degrees of freedom. As such it has a rich and varied history, with applications to thermodynamics, magnetic phase transitions, and order/disorder transformations, to name just a few. However, the tools of statistical physics can be profitably used to investigate any system with a large number of components. Thus, recent years have seen these methods applied in many unexpected directions, three of which are the main focus of this volume. These applications have been remarkably successful and have enriched the financial, biological, and engineering literature. Although reported in the physics literature, the results tend to be scattered and the underlying unity of the field overlooked.
Author: Enrico Rastelli
Publisher: World Scientific
ISBN: 9814355518
Category : Science
Languages : en
Pages : 359
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Book Description
The aim of this advanced textbook is to provide the reader with a comprehensive explanation of the ground state configurations, the spin wave excitations and the equilibrium properties of spin lattices described by the IsingOCoHeisenberg Hamiltonians in the presence of short (exchange) and long range (dipole) interactions.The arguments are presented in such detail so as to enable advanced undergraduate and graduate students to cross the threshold of active research in magnetism by using both analytic calculations and Monte Carlo simulations.Recent results about unorthodox spin configurations such as stripes and checkerboards should then excite theoreticians in the field of magnetism and magnetic materials research.
Author: Mehran Kardar
Publisher: Cambridge University Press
ISBN: 1139855883
Category : Science
Languages : en
Pages : 376
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Book Description
While many scientists are familiar with fractals, fewer are familiar with scale-invariance and universality which underlie the ubiquity of their shapes. These properties may emerge from the collective behaviour of simple fundamental constituents, and are studied using statistical field theories. Initial chapters connect the particulate perspective developed in the companion volume, to the coarse grained statistical fields studied here. Based on lectures taught by Professor Kardar at MIT, this textbook demonstrates how such theories are formulated and studied. Perturbation theory, exact solutions, renormalization groups, and other tools are employed to demonstrate the emergence of scale invariance and universality, and the non-equilibrium dynamics of interfaces and directed paths in random media are discussed. Ideal for advanced graduate courses in statistical physics, it contains an integrated set of problems, with solutions to selected problems at the end of the book and a complete set available to lecturers at www.cambridge.org/9780521873413.
Author: Errico Presutti
Publisher: Springer Science & Business Media
ISBN: 3540733051
Category : Mathematics
Languages : en
Pages : 478
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Book Description
Collective behavior in systems with many components, blow-ups with emergence of microstructures are proofs of the double, continuum and atomistic, nature of macroscopic systems, an issue which has always intrigued scientists and philosophers. Modern technologies have made the question more actual and concrete with recent, remarkable progresses also from a mathematical point of view. The book focuses on the links connecting statistical and continuum mechanics and, starting from elementary introductions to both theories, it leads to actual research themes. Mathematical techniques and methods from probability, calculus of variations and PDE are discussed at length.
