Financial Physics: Measurement Modeling in Non-Equilibrium Pricing (Financial Textbook Translation Series): Measurement Modeling in Non-Equilibrium Pricing

Author: Karim Ilniski
Publisher:
Publish Date: 2003-04-01
Features: This book provides fundamental perspectives in the form of a monograph: what can become a completely new method in the pricing of financial assets. The theory of equilibrium asset pricing is a milestone in modern finance and is widely used in various aspects, from asset allocation to risk management. However, recent events, such as the collapse of Long-Term Capital Management, have urgently called for a reexamination of the fundamental assumptions of equilibrium pricing theory. To this end, based on the author's extensive research and practical experience in applying theoretical physics methods to financial economics over the years, he has developed a significant new approach that breaks out of the equilibrium paradigm in finance.