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| 內容簡介： |
the present third edition of the statistical mechanics of financial markets is published only four years after the first edition. the success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to financial markets. i am very grateful to readers and reviewers for their positive reception and comments. why then prepare a new edition instead of only reprinting and correcting the second edition?
the new edition has been significantly expanded, giving it a more prac-tical twist towards banking. the most important extensions are due to my practical experience as a risk manager in the german savings banks'' asso-ciation dsgv: two new chapters on risk management and on the closely related topic of economic and regulatory capital for financial institutions, re-spectively, have been added. the chapter on risk management contains both the basics as well as advanced topics, e.g. coherent risk measures, which have not yet reached the statistical physics community interested in financial mar-kets.
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| 目錄：
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1. introduction
1.1 motivation
1.2 why physicists? why models of physics?
1.3 physics and finance - historical
1.4 aims of this book
2. basic information on capital markets
2.1 risk
2.2 assets
2.3 three important derivatives
2.4 derivative positions
2.5 market actors
2.6 price formation at organized exchanges
3. random walks in finance and physics
3.1 important questions
3.2 bachelier''s "theorie de la speculation"
3.3 einstein''s theory of brownian motion
3.4 experimental situation
4. the black-scholes theory of option prices
4.1 important questions
4.2 assumptions and notation
4.3 prices for derivatives
4.4 modeling fluctuations of financial assets
4.5 option pricing
5. scaling in financial data and in physics
5.1 important questions
5.2 stationarity of financial markets
5.3 geometric brownian motion
5.4 pareto laws and levy flights
5.5 scaling, levy distributions,and levy flights in nature
5.6 new developments: non-stable scaling, temporal and interasset correlations in financial markets
6. turbulence and foreign exchange markets
7. derivative pricing beyond black-scholes
8. microscopic market models
10. risk management
9. Theory of Stock Exhange Crashes
11. economic and regulatory capital for financial institutions
appendix
notes and references
index
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