Quantitative Finance for Physicists
An Introduction
Description
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
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 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
Product details
- No. of pages: 184
- Language: English
- Copyright: © Academic Press 2004
- Published: December 10, 2004
- Imprint: Academic Press
- eBook ISBN: 9780080492209
About the Author
Anatoly B. Schmidt
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
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