金融市场统计力学（第3版）

图书标准信息

• 作者 沃伊特（J.Voit） 编
• 出版社 世界图书出版公司
• 出版时间 2010-09
• 版次 3
• ISBN 9787510027338
• 定价 49.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 378页
• 正文语种 英语

【内容简介】

Thepresentthirdeditionofthestatisticalmechanicsoffinancialmarketsispublishedonlyfouryearsafterthefirstedition.thesuccessofthebookhighlightstheinterestinasummaryofthebroadresearchactivitiesontheapplicationofstatisticalphysicstofinancialmarkets.iamverygratefultoreadersandreviewersfortheirpositivereceptionandcomments.whythenprepareaneweditioninsteadofonlyreprintingandcorrectingthesecondedition?

【目录】

1.introduction
1.1motivation
1.2whyphysicists?whymodelsofphysics?
1.3physicsandfinance-historical
1.4aimsofthisbook

2.basicinformationoncapitalmarkets
2.1risk
2.2assets
2.3threeimportantderivatives
2.4derivativepositions
2.5marketactors
2.6priceformationatorganizedexchanges

3.randomwalksinfinanceandphysics
3.1importantquestions
3.2bachelier's"theoriedelaspeculation"
3.3einstein'stheoryofbrownianmotion
3.4experimentalsituation

4.theblack-scholestheoryofoptionprices
4.1importantquestions
4.2assumptionsandnotation
4.3pricesforderivatives
4.4modelingfluctuationsoffinancialassets
4.5optionpricing

5.scalinginfinancialdataandinphysics
5.1importantquestions
5.2stationarityoffinancialmarkets
5.3geometricbrownianmotion
5.4paretolawsandlevyflights
5.5scaling,levydistributions,andlevyflightsinnature
5.6newdevelopments:non-stablescaling,temporalandinterassetcorrelationsinfinancialmarkets

6.TurbulenceandForeignExchangeMarkets
6.1ImportantQuestions
6.2TurbulentFlows
6.2.1Phenomenology
6.2.2StatisticalDescriptionofTurbulence
6.2.3RelationtoNon.extensiveStatisticalMechanics
6.3F0reignExchangeMarkets
6.3.1WhyForeignExchangeMarkets?
6.3.2EmpiricalResu：Its
6.3.3StochasticCascadeModels
6.3.4TheMultifractalInterpretation

7.DerivativePricingBeyondBlack-Scholes
7.1ImportantQuestions
7.2AnIntegralnameworkforDerivativePricing
7.3ApplicationtoForwardContracts
7.4OptionPricing（EuropeanCalls）
7.5MonteCarloSimulations
7.6OptionPricinginaTsallisworld
7.7PathIntegrals：IntegratingtheFatTailsintoOptionPricing
7.8PathIntegrals：IntegratingPathDependenceintoOptionPricing

8.MicroscoplcMarketMOdeIs
8.1ImportantQuestions
8.2AreMarketsEflicient?
8.3ComputerSimulationofMarketModels
8.3.1TwoClassicalExamples
8.3.2RecentModels
8.4TheMinorityGame
8.4.1TheBasicMinorityGame
8.4.2APhaseTransitionintheMinorityGame
8.4.3RelationtoFinancialMarkets
8.4.4SpinGlassesandanExactSolution
8.4.5ExtensionsoftheMinorityGame

9.TheoryofStockExchangeCrashes
9.1ImportantQuestions
9.2Examples
9.3EarthquakesandMateriaIFailure
9.4StockExchangeCrashes
9.5WhatCause8Crashes?
9.6AreCrashesRational?
9.7WhatHappensAfteraCrash?.，
9.8ARichterScaleforFinancialMarkets

10.R.iskManagement
10.1ImportantQuestions
10.2WhatisRisk?
10.3MeasuresofRisk
10.3.1Volatility
10.3.2GeneralizationsofVolatilitymadMoments
10.3.3StatisticsofExtremalEvents
10.3.4V_alueatRisk
10.3.5CoherentMeasuresofRisk
10.3.6ExpectedShortfall
10.4TypesofRisk
10.4.1MarketRisk
10.4.2CreditRisk
10.4.30perationalmsk
10.4.4Liquiditvmsk
10.5mskManagement
10.5.1RiskManagementRequiresaStrategy
10.5.2LimitSystems
10.5.3Hedging
10.5.4PortfolioInsurance
10.5.5Diversification
10.5.6StrategicmskManagement

11.EconomicandRegulatoryCapitalforFinancialInstitutions
11.1ImportantQuestions
11.2EconomicCapital
11.2.1WhatDeterminesEconomicCapital?
11.2.2HowCalculateEconomicCapital?
11.2.3HowAllocateEconomicCapital?
11.2.4EconomicCapitalaManagementTool
11.3TheRegulatoryFramework
11.3.1WhyBankingRegulation?
11.3.2Risk-BasedCapitalRequirements
11.3.3BaselI：RegulationofCreditRisk
11.3.4InternalModels
11.3.5BaselII：TheNewInternationalCapitalAdequacyFramework
11.3.60utlook：BaselIIlandBabelIV
Appendix
NotesandRaferences
Index