LEADER 04871nam 2200673Ia 450 001 9910784548303321 005 20230120004727.0 010 $a1-281-01998-4 010 $a9786611019983 010 $a1-4175-7736-3 010 $a0-08-049220-7 035 $a(CKB)1000000000364709 035 $a(EBL)226804 035 $a(OCoLC)232311847 035 $a(SSID)ssj0000231190 035 $a(PQKBManifestationID)11190453 035 $a(PQKBTitleCode)TC0000231190 035 $a(PQKBWorkID)10198457 035 $a(PQKB)10252232 035 $a(Au-PeEL)EBL226804 035 $a(CaPaEBR)ebr10128016 035 $a(CaONFJC)MIL101998 035 $a(CaSebORM)9780120884643 035 $a(MiAaPQ)EBC226804 035 $a(EXLCZ)991000000000364709 100 $a20041105d2005 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aQuantitative finance for physicists$b[electronic resource] $ean introduction /$fAnatoly B. Schmidt 205 $a1st edition 210 $aSan Diego $cElsevier Academic Press$dc2005 215 $a1 online resource (179 p.) 225 1 $aAcademic Press Advanced Finance 300 $aDescription based upon print version of record. 311 $a1-4832-9991-0 311 $a0-12-088464-X 320 $aIncludes bibliographical references (p. 149-157) and index. 327 $aFront 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 Equation 327 $a4.4 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 Model 327 $a7.5 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 Selection 327 $a10.2 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; Index 330 $aWith more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods. Quantitative Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative finance such as option pricing, portfolio 410 0$aAcademic Press Advanced Finance 606 $aFinance$xMathematical models 606 $aBusiness mathematics 615 0$aFinance$xMathematical models. 615 0$aBusiness mathematics. 676 $a332/.01/5195 700 $aSchmidt$b Anatoly B$0924329 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910784548303321 996 $aQuantitative finance for physicists$93772592 997 $aUNINA