Bouchaud, Potters "Theory of Financial Risks: From Statistical Physics to Risk Management"
This book summarizes recent theoretical developments inspired by
statistical physics in the description of the potential moves in
financial markets, and its application to derivative pricing and risk
control. The possibility of accessing and processing huge quantities of
data on financial markets opens the path to new methodologies where
systematic comparison between theories and real data not only becomes
possible, but mandatory. This book takes a physicist's point of view to
financial risk by comparing theory with experiment. Starting with
important results in probability theory, the authors discuss the
statistical analysis of real data, the empirical determination of
statistical laws, the definition of risk, the theory of optimal
portfolio, and the problem of derivatives (forward contracts, options).
This book will be of interest to physicists interested in finance,
quantitative analysts in financial institutions, risk managers and
graduate students in mathematical finance.
