Financial Risk Theory -- From Statistical Physics to Risk Management

Author: [French] Jean-Philippe Bouchaud
Publisher:
Publish Date: 2002-07-01
Features: During the two periods of the 1950s and 1970s in the last century, some wise people proposed the two central issues of modern finance: "the processing of risk and the optimization of benefits." Since then, almost all theories of quantitative finance have revolved around these two fundamental problems. The focus of this book is on the control and management of financial risk. To achieve this, it is necessary to have manageable and controllable indicators. With these indicators, risk pricing can be conducted, and reasonable models and methods can be provided. Therefore, the final chapter of this book extensively discusses the pricing and risk management of various options. This is a book with distinctive perspectives and methods, as it consistently uses actual data from the securities market to illustrate and verify the corresponding analytical conclusions. Using stock market indices, foreign exchange market transactions, and government bond market trends as examples, it provides data-supported analysis that is not (tedious). People with different viewpoints can all benefit from the analysis in this book.