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The Statistical Mechanics of Financial Markets / Edition 3

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Overview

This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.
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Editorial Reviews

From the Publisher
From the reviews of the third edition:

"An excellent job of integrating many of the most important themes from econophysics in a relatively small volume. … The book serves its purpose, as a textbook on econophysics, superbly and one can tell that it developed from a course of lectures. The book is written with extreme clarity and an excellent pedagogical style. For philosophers who wish to acquaint themselves with the field of econophysics (beyond a superficial level), this is the book to invest in." (Dean Rickles, Studies in History and Philosophy of Modern Physics, Vol. 38, 2007)

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Product Details

  • ISBN-13: 9783540262855
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 12/1/2005
  • Series: Theoretical and Mathematical Physics Series
  • Edition description: 3rd ed. 2005
  • Edition number: 3
  • Pages: 378
  • Sales rank: 1,228,981
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.88 (d)

Table of Contents

1 Introduction 1
2 Basic information on capital markets 13
3 Random walks in finance and physics 27
4 The Black-Scholes theory of option prices 51
5 Scaling in financial data and in physics 101
6 Turbulence and foreign exchange markets 173
7 Derivative pricing beyond Black-Scholes 197
8 Microscopic market models 221
9 Theory of stock exchange crashes 259
10 Risk management 289
11 Economic and regulatory capital for financial institutions 325
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