Book contents
- Frontmatter
- Contents
- Foreword
- Preface
- 1 Probability theory: basic notions
- 2 Maximum and addition of random variables
- 3 Continuous time limit, Ito calculus and path integrals
- 4 Analysis of empirical data
- 5 Financial products and financial markets
- 6 Statistics of real prices: basic results
- 7 Non-linear correlations and volatility fluctuations
- 8 Skewness and price-volatility correlations
- 9 Cross-correlations
- 10 Risk measures
- 11 Extreme correlations and variety
- 12 Optimal portfolios
- 13 Futures and options: fundamental concepts
- 14 Options: hedging and residual risk
- 15 Options: the role of drift and correlations
- 16 Options: the Black and Scholes model
- 17 Options: some more specific problems
- 18 Options: minimum variance Monte–Carlo
- 19 The yield curve
- 20 Simple mechanisms for anomalous price statistics
- Index of most important symbols
- Index
2 - Maximum and addition of random variables
Published online by Cambridge University Press: 06 July 2010
Book contents
- Frontmatter
- Contents
- Foreword
- Preface
- 1 Probability theory: basic notions
- 2 Maximum and addition of random variables
- 3 Continuous time limit, Ito calculus and path integrals
- 4 Analysis of empirical data
- 5 Financial products and financial markets
- 6 Statistics of real prices: basic results
- 7 Non-linear correlations and volatility fluctuations
- 8 Skewness and price-volatility correlations
- 9 Cross-correlations
- 10 Risk measures
- 11 Extreme correlations and variety
- 12 Optimal portfolios
- 13 Futures and options: fundamental concepts
- 14 Options: hedging and residual risk
- 15 Options: the role of drift and correlations
- 16 Options: the Black and Scholes model
- 17 Options: some more specific problems
- 18 Options: minimum variance Monte–Carlo
- 19 The yield curve
- 20 Simple mechanisms for anomalous price statistics
- Index of most important symbols
- Index
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- Theory of Financial Risk and Derivative PricingFrom Statistical Physics to Risk Management, pp. 17 - 42Publisher: Cambridge University PressPrint publication year: 2003