The Statistical Mechanics of Financial Markets / Edition 3

by Johannes Voit

Overview

The present third edition of The Statistical Mechanics of Financial Markets is published only four years after the first edition. The success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to—nancial markets. I am very grateful to readers and reviewers for their positive reception and comments. Why then prepare a new edition instead of only reprinting and correcting the second edition? The new edition has been significantly expanded, giving it a more pr- tical twist towards banking. The most important extensions are due to my practical experience as a risk manager in the German Savings Banks’ As- ciation (DSGV): Two new chapters on risk management and on the closely related topic of economic and regulatory capital for—nancial institutions, - spectively, have been added. The chapter on risk management contains both the basics as well as advanced topics, e. g. coherent risk measures, which have not yet reached the statistical physics community interested invfinancial markets. Similarly, it is surprising how little research by academic physicists has appeared on topics relating to Basel II. Basel II is the new capital adequacy framework which will set the standards in risk management in many co- tries for the years to come. Basel II is responsible for many job openings in banks for which physicists are extemely well qualified. For these reasons, an outline of Basel II takes a major part of the chapter on capital.

Product Details

ISBN-13:	9783642065781
Publisher:	Springer Berlin Heidelberg
Publication date:	11/19/2010
Series:	Theoretical and Mathematical Physics
Edition description:	Softcover reprint of hardcover 3rd ed. 2005
Pages:	378
Sales rank:	1,233,460
Product dimensions:	6.10(w) x 9.20(h) x 0.90(d)

Table of Contents

Basic Information on Capital Markets.- Random Walks in Finance and Physics.- The Black-Scholes Theory of Option Prices.- Scaling in Financial Data and in Physics.- Turbulence and Foreign Exchange Markets.- Derivative Pricing Beyond Black—Scholes.- Microscopic Market Models.- Theory of Sk Exchange Crashes.- Risk Management.- Economic and Regulatory Capital for Financial Institutions.

Editorial Reviews

From the reviews of the third edition:

"An excellent job of integrating many of the most important themes from econophysics in a relatively small volume. … The book serves its purpose, as a textbook on econophysics, superbly and one can tell that it developed from a course of lectures. The book is written with extreme clarity and an excellent pedagogical style. For philosophers who wish to acquaint themselves with the field of econophysics (beyond a superficial level), this is the book to invest in." (Dean Rickles, Studies in History and Philosophy of Modern Physics, Vol. 38, 2007)

From the Publisher