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.

Key Features

* Short, self-contained book for physicists to master basic concepts and quantitative methods of finance * Growing field—many physicists are moving into finance positions because of the high-level math required *Draws on the author's own experience as a physicist who moved into a financial analyst position

Readership

Physics students following a course on finance worldwide, students in econophysics and quantitative finance, physicists interested in moving into professional finance positions.

Table of 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

Details

No. of pages:
184
Language:
English
Copyright:
© 2005
Published:
Imprint:
Academic Press
Electronic ISBN:
9780080492209
Print ISBN:
9780120884643
Print ISBN:
9781483299914

About the author

Reviews

"… Schmidt's book is the most pedagogical among the few good econophysics books to have appeared in the last years. I am going to use it whenever teaching econophysics to young researchers.... A very positive contribution, giving the new generation of scientists a balanced, interdisciplinary, yet soundly professional background in this fascinating and promising field." — Sorin Solomon, Professor at the Racah Institute of Physics, Hebrew University of Jerusalem and Director of the Multi-Agent Systems Division at the Institute for Scientific Interchange, Torino "…What amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly. I will recommend this book to my own financial economics students as an up-to-date, quick reference companion to classes and the lab." — Sergio Da Silva, Department of Economics, Federal University of Santa Catarina, Brazil