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The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics) [Hardcover]

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Item description for The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics) by Johannes Voit...

This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets.The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully.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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Item Specifications...

Pages   378
Est. Packaging Dimensions:   Length: 1" Width: 6.5" Height: 9.5"
Weight:   1.58 lbs.
Binding  Hardcover
Release Date   Dec 1, 2005
Publisher   Springer
ISBN  3540262857  
ISBN13  9783540262855  

Availability  0 units.

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Product Categories

1Books > Special Features > New & Used Textbooks > Business & Finance
2Books > Special Features > New & Used Textbooks > Sciences > Mathematics
3Books > Special Features > New & Used Textbooks > Sciences > Physics
4Books > Subjects > Business & Investing > Economics > Statistics
5Books > Subjects > Business & Investing > General
6Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Game Theory
7Books > Subjects > Professional & Technical > Professional Science > Physics > General
8Books > Subjects > Science > General
9Books > Subjects > Science > Mathematics > Applied > Game Theory
10Books > Subjects > Science > Mathematics > General
11Books > Subjects > Science > Physics > General

Reviews - What do customers think about The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics)?

Good Intro for me  Feb 23, 2008
I am a physics grad student thinking about switching to finance. This book is a good start on that path.
Excelllent introduction and very stimulating  Feb 1, 2006
This book was my first thorough introduction to this field and I have found it thoroughly enjoyable. The comparisions between the tools of Physics and Finance along with the presentation of empirical data was highly stimulating. The economic terms were presented with lucidity and conciseness and the use of relevant examples in both Physics and Finance made it an easy read. Also of great value was it comparisons of standard economic theory with various tools within Physics.

This book also provides a very complete Bibliography where one can find classical and neoclassical economic texts and further references and directions in this relatively new field. I highly reccomend it to any Physicist looking to go into Finance or just as a good read and also to (neo) classical econonomists and financial engineers alike.

I also deeply appreciated the respect it showed to economists and its straightforward, non preachy manner that many Physicists are often guilty of!

Very useful bridge between physics methodologies and finance  Mar 9, 2002
Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.

Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.

The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.

Nassim Nicholas Taleb


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