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词条 金融市场统计力学
释义

图书信息

出版社: 世界图书出版公司; 第1版 (2010年9月1日)

外文书名: The Statistical Mechanics of Financial Markets(Third Edition)

平装: 378页

正文语种: 英语

开本: 24

ISBN: 7510027330, 9787510027338

条形码: 9787510027338

尺寸: 22.2 x 14.8 x 1.6 cm

重量: 458 g

作者简介

作者:(德国)沃伊特(J.Voit)

内容简介

《金融市场统计力学(第3版)》内容简介:The present third edition of the statistical mechanics of financial markets is published only four years after the first edition. the success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to financial 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?

目录

1.introduction

1.1 motivation

1.2 why physicists? why models of physics?

1.3 physics and finance - historical

1.4 aims of this book

2.basic information on capital markets

2.1 risk

2.2 assets

2.3 three important derivatives

2.4 derivative positions

2.5 market actors

2.6 price formation at organized exchanges

3.random walks in finance and physics

3.1 important questions

3.2 bachelier's "theorie de la speculation"

3.3 einstein's theory of brownian motion

3.4 experimental situation

4.the black-scholes theory of option prices

4.1 important questions

4.2 assumptions and notation

4.3 prices for derivatives

4.4 modeling fluctuations of financial assets

4.5 option pricing

5.scaling in financial data and in physics

5.1 important questions

5.2 stationarity of financial markets

5.3 geometric brownian motion

5.4 pareto laws and levy flights

5.5 scaling, levy distributions,and levy flights in nature

5.6 new developments: non-stable scaling, temporal and interasset correlations in financial markets

6.Turbulence and Foreign Exchange Markets

6.1 Important Questions

6.2 Turbulent Flows

6.2.1 Phenomenology

6.2.2 Statistical Description of Turbulence

6.2.3 Relation to Non.extensive Statistical Mechanics

6.3 F0reign Exchange Markets

6.3.1 Why Foreign Exchange Markets?

6.3.2 Empirical Resu:Its

6.3.3 Stochastic Cascade Models

6.3.4 The Multifractal Interpretation

7.Derivative Pricing Beyond Black-Scholes

7.1 Important Questions

7.2 An Integral namework for Derivative Pricing

7.3 Application to Forward Contracts

7.4 Option Pricing(European Calls)

7.5 Monte Carlo Simulations

7.6 Option Pricing in a Tsallis world

7.7 Path Integrals:Integrating the Fat Tails into Option Pricing

7.8 Path Integrals:Integrating Path Dependence into Option Pricing

8.Microscoplc Market MOdeIs

8.1 Important Questions

8.2 Are Markets Eflicient?

8.3 Computer Simulation of Market Models

8.3.1 Two Classical Examples

8.3.2 Recent Models

8.4 The Minority Game

8.4.1 The Basic Minority Game

8.4.2 A Phase Transition in the Minority Game

8.4.3 Relation to Financial Markets

8.4.4 Spin Glasses and an Exact Solution

8.4.5 Extensions ofthe Minority Game

9.Theory of Stock Exchange Crashes

9.1 Important Questions

9.2 Examples

9.3 Earthquakes and MateriaI Failure

9.4 Stock Exchange Crashes

9.5 What Cause8 Crashes?

9.6 Are Crashes Rational?

9.7 What Happens After a Crash?.,

9.8 A Richter Scale for Financial Markets

10.R.isk Management

10.1 Important Questions

10.2 What is Risk?

10.3 Measures of Risk

10.3.1 Volatility

10.3.2 Generalizations of Volatility mad Moments

10.3.3 Statistics of Extremal Events

10.3.4 V_alue at Risk

10.3.5 Coherent Measures of Risk

10.3.6 Expected Shortfall

10.4 Types of Risk

10.4.1 Market Risk

10.4.2 Credit Risk

10.4.3 0perational msk

10.4.4 Liquiditv msk

10.5 msk Management

10.5.1 Risk Management Requires a Strategy

10.5.2 Limit Systems

10.5.3 Hedging

10.5.4 Portfolio Insurance

10.5.5 Diversification

10.5.6 Strategic msk Management

11.Economic and Regulatory Capital for Financial Institutions

11.1 Important Questions

11.2 Economic Capital

11.2.1 What Determines Economic Capital?

11.2.2 How Calculate Economic Capital?

11.2.3 How Allocate Economic Capital?

11.2.4 Economic Capital a Management Tool

11.3 The Regulatory Framework

11.3.1 Why Banking Regulation?

11.3.2 Risk-Based Capital Requirements

11.3.3 Basel I:Regulation of Credit Risk

11.3.4 Internal Models

11.3.5 Basel II:The New International Capital Adequacy Framework

11.3.6 0utlook:Basel IIl and Babel IV

Appendix

Notes and Raferences

Index

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