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Quantitative Finance for Physicists - 1st Edition - ISBN: 9780120884643, 9780080492209

Quantitative Finance for Physicists

1st Edition

An Introduction

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Author: Anatoly B. Schmidt
Hardcover ISBN: 9780120884643
Paperback ISBN: 9781483299914
eBook ISBN: 9780080492209
Imprint: Academic Press
Published Date: 14th December 2004
Page Count: 184
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Table of Contents

Contents

  1. Introduction
  2. Financial Markets
  3. 1 Market price formation2.2 Returns and dividends 2.2.1 Simple and compounded returns 2.2.2 Dividend effects2.3 Market Efficiency 2.3.1 Arbitrage 2.3.2 Efficient market hypothesis 2.3.2.1 The idea 2.3.2.2 The critique
  4. 4 Pathways for further reading
  5. 5 Exercises
  6. Probability distributions
  7. 1 Basic definitions
  8. 2 Some important distributions
  9. 3 Stable distributions and scale invariance
  10. 4 References for further reading
  11. 5 Exercises
  12. 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
  13. 6 References for further reading
  14. 7 Exercises
  15. Time series analysis 5.1 Autoregressive and moving average models
  16. 2 Trends and seasonality
  17. 3 Conditional heteroskedascisity
  18. 4 Multivariate time series
  19. 5 References for further reading and econometric software
  20. 6 Exercises
  21. Fractals
  22. 1 Basic definitions
  23. 2 Multifractals
  24. 3 References for further reading
  25. 4 Exercises
  26. 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
  27. 8 Exercises
  28. 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
  29. 5 Exercises
  30. Option Pricing
  31. 1 Financial derivatives
  32. 2 General properties of options
  33. 3 Binomial trees
  34. 4 Black-Scholes theory
  35. 5 References for further reading9.6 Appendix. The invariant of the arbitrage-free portfolio
  36. 7 Exercises
  37. Portfolio management 10.1 Portfolio selection
  38. 2 Capital asset pricing model
  39. 3 Arbitrage pricing theory 10.4 Arbitrage trading strategies
  40. 5 References for further reading
  41. 6 Exercises
  42. Market risk measurement
  43. 1 Risk measures
  44. 2 Calculating risk 11.3 References for further reading
  45. 4 Exercises
  46. Agent-based modeling of financial markets 12.1 Introduction
  47. 2 Adaptive equilibrium models
  48. 3 Non-equilibrium price models
  49. 4 Modeling of observable variables
  50. 5 References for further reading
  51. 6 Exercises

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.


Details

No. of pages:
184
Language:
English
Copyright:
© Academic Press 2005
Published:
14th December 2004
Imprint:
Academic Press
Hardcover ISBN:
9780120884643
Paperback ISBN:
9781483299914
eBook ISBN:
9780080492209

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

Ratings and Reviews


About the Author

Anatoly B. Schmidt

Dr. Anatoly.B. Schmidt holds M.S. and Ph.D. in Physics from Latvian

University, Riga. For more than 10 years, Dr. Schmidt was the lead

modeling scientist at the Latvian Center for Biological, Medical, and

Ecological Research. In the 90s, he was engaged for several years in

development of computational chemistry software and in its applications

to life sciences. His research interests include modeling "of

anything", from biological processes to financial markets. His major

fields of expertise are the statistical physics, in particular, the

theory of fluids, (poly)electrolytes and plasmas, the solvation theory

and its applications in biology, and, most recently, quantitative

finance. Dr. Schmidt is the author of the book "Statistical

thermodynamics of classical plasmas" (Energoatomizdat, Moscow, 1991),

and more than 40 publications in biophysics, statistical and chemical

physics, and econophysics. Dr. A.B. Schmidt has been a financial data

analyst since 1997.

Affiliations and Expertise

Financial Data Analyst