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July 15th 2003 | Paperback | PDF, EPUB, FB2, DjVu, AUDIO, mp3, RTF | 288 pages | ISBN: 9783540009788 | 7.72 Mb

Provides an excellent introduction for physicists interested in the statistical properties of financial markets... basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined... an excellent starting pointMoreProvides an excellent introduction for physicists interested in the statistical properties of financial markets...

basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined... an excellent starting point for the interested physicist. PHYSICS TODAYThis introductory treatment describes parallels between statistical physics and finance, both long established and new research results on capital markets.

Forming the core of Voits treatment are the concepts of random walks, scaling of data, and risk control. Voit discusses the underlying assumptions using empirical financial data and analogies to physical models such as fluid flows and turbulence. He formulates theories of derivative pricing and risk control, and shows how computer simulations of markets provide insights into price fluctuations and how crashes are modelled in ways analogous to phase transitions.

This corrected edition has been updated with several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game.

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