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The Statistical Mechanics of Financial Markets

  • Textbook
  • © 2005

Overview

Authors:
  1. Johannes Voit

    1. Deutscher Sparkassen-und Giroverband, Berlin, Germany

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Editors:
  1. R. Balian

    1. Gif-sur-Yvette, France

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  2. W. Beiglböck

    1. Heidelberg, Germany

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  3. H. Grosse

    1. Wien, Austria

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  4. W. Thirring

    1. Wien, Austria

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  • Hot topic and allows already some stunning applications in economic modeling
  • 3rd enhanced edition of a bestseller

Part of the book series: Theoretical and Mathematical Physics (TMP)

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Table of contents (11 chapters)

  1. Front Matter

    Pages I-XV
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  2. Introduction

    Pages 1-11

  3. Basic Information on Capital Markets

    Pages 13-25

  4. Random Walks in Finance and Physics

    Pages 27-50

  5. The Black-Scholes Theory of Option Prices

    Pages 51-99

  6. Scaling in Financial Data and in Physics

    Pages 101-172

  7. Turbulence and Foreign Exchange Markets

    Pages 173-196

  8. Derivative Pricing Beyond Black—Scholes

    Pages 197-219

  9. Microscopic Market Models

    Pages 221-257

  10. Theory of Stock Exchange Crashes

    Pages 259-288

  11. Risk Management

    Pages 289-324

  12. Economic and Regulatory Capital for Financial Institutions

    Pages 325-358

  13. Back Matter

    Pages 359-378
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About this book

The present third edition of The Statistical Mechanics of Financial Markets is published only four years after the ?rst 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 signi?cantly 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 in ?nancial m- kets. 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 quali?ed. For these reasons, an outline of Basel II takes a major part of the chapter on capital.

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)

Authors, Editors and Affiliations

  • Gif-sur-Yvette, France

    R. Balian

  • Heidelberg, Germany

    W. Beiglböck

  • Wien, Austria

    H. Grosse, W. Thirring

  • Deutscher Sparkassen-und Giroverband, Berlin, Germany

    Johannes Voit

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