Research Catalog

The statistical mechanics of financial markets

Title
The statistical mechanics of financial markets / Johannes Voit.
Author
Voit, Johannes, 1957-
Publication
Berlin ; New York : Springer, ©2001.

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Details

Description
xii, 220 pages : illustrations; 25 cm.
Series Statement
Texts and monographs in physics, 0172-5998
Uniform Title
Texts and monographs in physics.
Subject
  • Finance > Statistical methods
  • Capital market > Statistical methods
  • Statistical physics
  • Financial engineering
  • Portfolio-theorie
  • Statistische methoden
  • Kapitaalmarkt
  • Mathematische fysica
  • Financieel management
Bibliography (note)
  • Includes bibliographical references (p. [213]-217) and index.
Contents
1. Introduction -- 2. Basic Information on Capital Markets -- 3. Random Walks in Finance and Physics -- 4. The Black-Scholes Theory of Option Prices -- 5. Scaling in Financial Data and in Physics -- 6. Turbulence and Foreign Exchange Markets -- 7. Risk Control and Derivative Pricing in Non-Gaussian Markets -- 8. Microscopic Market Models -- 9. Theory of Stock Exchange Crashes.
ISBN
  • 3540414096
  • 9783540414094
LCCN
00068730
OCLC
  • ocm45556226
  • 45556226
  • SCSB-8812662
Owning Institutions
Princeton University Library