04871nam 2200673Ia 450 991078454830332120230120004727.01-281-01998-497866110199831-4175-7736-30-08-049220-7(CKB)1000000000364709(EBL)226804(OCoLC)232311847(SSID)ssj0000231190(PQKBManifestationID)11190453(PQKBTitleCode)TC0000231190(PQKBWorkID)10198457(PQKB)10252232(Au-PeEL)EBL226804(CaPaEBR)ebr10128016(CaONFJC)MIL101998(CaSebORM)9780120884643(MiAaPQ)EBC226804(EXLCZ)99100000000036470920041105d2005 uy 0engurcn|||||||||txtccrQuantitative finance for physicists[electronic resource] an introduction /Anatoly B. Schmidt1st editionSan Diego Elsevier Academic Pressc20051 online resource (179 p.)Academic Press Advanced FinanceDescription based upon print version of record.1-4832-9991-0 0-12-088464-X Includes bibliographical references (p. 149-157) and index.Front Cover; Quantitative Finance for Physicists: An Introduction; Copyright Page; Detailed Table of Contents; Chapter 1. Introduction; Chapter 2. Financial Markets; 2.1 Market Price Formation; 2.2 Returns and Dividends; 2.3 Market Efficiency; 2.4 Pathways for Further Reading; 2.5 Exercises; Chapter 3. Probability Distributions; 3.1 Basic Definitions; 3.2 Important Distributions; 3.3 Stable Distributions and Scale Invariance; 3.4 References for Further Reading; 3.5 Exercises; Chapter 4. Stochastic Processes; 4.1 Markov Processes; 4.2 Brownian Motion; 4.3 Stochastic Differential Equation4.4 Stochastic Integral 4.5 Martingales; 4.6 References for Further Reading; 4.7 Exercises; Chapter 5. Time Series Analysis; 5.1 Autoregressive and Moving Average Models; 5.2 Trends and Seasonality; 5.3 Conditional Heteroskedasticity; 5.4 Multivariate Time Series; 5.5 References for Further Reading and Econometric Software; 5.6 Exercises; Chapter 6. Fractals; 6.1 Basic Definitions; 6.2 Multifractals; 6.3 References for Further Reading; 6.4 Exercises; Chapter 7. Nonlinear Dynamical Systems; 7.1 Motivation; 7.2 Discrete Systems: Logistic Map; 7.3 Continuous Systems; 7.4 Lorenz Model7.5 Pathways to Chaos 7.6 Measuring Chaos; 7.7 References for Further Reading; 7.8 Exercises; Chapter 8. Scaling in Financial Time Series; 8.1 Introduction; 8.2 Power Laws in Financial Data; 8.3 New Developments; 8.4 References for Further Reading; 8.5 Exercises; Chapter 9. Option Pricing; 9.1 Financial Derivatives; 9.2 General Properties of Options; 9.3 Binomial Trees; 9.4 Black-Scholes Theory; 9.5 References for Further reading; 9.6 Appendix. The Invariant of the Arbitrage-Free Portfolio; 9.7 Exercises; Chapter 10. Portfolio Management; 10.1 Portfolio Selection10.2 Capital Asset Pricing Model (CAPM)10.3 Arbitrage Pricing Theory (APT); 10.4 Arbitrage Trading Strategies; 10.5 References for Further Reading; 10.6 Exercises; Chapter 11. Market Risk Measurement; 11.1 Risk Measures; 11.2 Calculating Risk; 11.3 References for Further Reading; 11.4 Exercises; Chapter 12. Agent-Based Modeling of Financial Markets; 12.1 Introduction; 12.2 Adaptive Equilibrium Models; 12.3 Non-Equilibrium Price Models; 12.4 Modeling of Observable Variables; 12.5 References for Further Reading; 12.6 Exercises; Comments; References; Answers to Exercises; IndexWith more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods. Quantitative Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative finance such as option pricing, portfolioAcademic Press Advanced FinanceFinanceMathematical modelsBusiness mathematicsFinanceMathematical models.Business mathematics.332/.01/5195Schmidt Anatoly B924329MiAaPQMiAaPQMiAaPQBOOK9910784548303321Quantitative finance for physicists3772592UNINA