Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

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.