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| QUANTITATIVE FINANCE FOR PHYSICISTS
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An Introduction
To order this title, and for more information, click here
By
Anatoly B. Schmidt, Financial Data Analyst
Included in series
Academic Press Advanced Finance ,
Description
With more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the
finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods.
Quantitative
Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how
fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative
finance such as option pricing, portfolio management, and risk measurement. This book provides the basic knowledge in finance required
to enable readers with physics backgrounds to move successfully into the financial industry.
Audience
Physics students following a course on finance worldwide, students in econophysics and quantitative finance, physicists interested in moving into professional finance positions.
Contents
Contents
1. Introduction
2. Financial Markets
2.1 Market price formation
2.2 Returns and dividends
2.2.1 Simple and compounded
returns
2.2.2 Dividend effects
2.3 Market Efficiency
2.3.1 Arbitrage
2.3.2 Efficient market hypothesis
2.3.2.1 The
idea
2.3.2.2 The critique
2.4 Pathways for further reading
2.5 Exercises
3. Probability distributions
3.1 Basic definitions
3.2 Some important distributions
3.3 Stable distributions and scale invariance
3.4 References for further reading
3.5 Exercises
4. Stochastic
processes
4.1 Markov process
4.2 Brownian motion
4.3 Stochastic differential equation. Ito?s lemma
4.4 Stochastic
integral
4.5 Martingales
4.6 References for further reading
4.7 Exercises
5. Time series analysis
5.1 Autoregressive and
moving average models
5.2 Trends and seasonality
5.3 Conditional heteroskedascisity
5.4 Multivariate time series
5.5 References for further
reading and econometric software
5.6 Exercises
6. Fractals
6.1 Basic definitions
6.2 Multifractals
6.3 References for further reading
6.4 Exercises
7. Nonlinear dynamical systems
7.1 Motivation
7.2 Discrete systems: Logistic map
7.3 Continuous systems
7.4 Lorenz model
7.5 Pathways to chaos
7.6 Measuring chaos
7.7 References for further reading
7.8 Exercises
8. Scaling
in financial time series
8.1 Introduction
8.2 Power laws in financial data
8.3 New developments
8.4 References for
further reading
8.5 Exercises
9. Option Pricing
9.1 Financial derivatives
9.2 General properties of options
9.3 Binomial trees
9.4 Black-Scholes
theory
9.5 References for further reading
9.6 Appendix. The invariant of the arbitrage-free portfolio
9.7 Exercises
10. Portfolio
management
10.1 Portfolio selection
10.2 Capital asset pricing model
10.3 Arbitrage pricing theory
10.4 Arbitrage trading
strategies
10.5 References for further reading
10.6 Exercises
11. Market risk measurement
11.1 Risk measures
11.2 Calculating risk
11.3 References for further reading
11.4 Exercises
12. Agent-based modeling of financial markets
12.1 Introduction
12.2 Adaptive
equilibrium models
12.3 Non-equilibrium price models
12.4 Modeling of observable variables
12.5 References for further reading
12.6
Exercises
| Bibliographic details |
Hardbound, 184 pages, publication date: DEC-2004
ISBN-13: 978-0-12-088464-3
ISBN-10: 0-12-088464-X
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 69.95
EUR 49.95
GBP 41.99
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Last update: 5 Sep 2009
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