Theory of financial risk and derivative pricing

1 December 2003

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Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarises recent theoretical developments, someof which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the ‘rare events’)for asset allocation, derivative pricing and hedging, and risk control.

2nd English Edition

Publisher Cambridge University Press
ISBN 9780521741866
Date December 2003

Japanese Edition

Publisher Asakura Book Store
ISBN 978-4-254-29536-8

Chinese Edition
Publisher Economic Science Press
Date August 2002
ISBN 978-7-505-82805-6

Authors

Marc Potters , Jean-Philippe Bouchaud