FLUCTUATIONS IN PHYSICAL SYSTEMS

Le Monde En Tique

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Ouvrage 9780521655927 : FLUCTUATIONS IN PHYSICAL SYSTEMS
Contents
1. Introduction; 2. Efficient market hypothesis; 3. Random walks; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Stochastic models of price dynamics; 8. Scaling and its breakdowns; 9. ARCH and GARCH processes; 10. Financial markets and turbulence; 11. Correlation inside a financial market; 12. Taxonomy of a stock portfolio; 13. Options and derivatives; 14. Black and Scholes in practice.


Auteur : PECSELI
Editeur : CAMBRIDGE UNIVERSITY PRESS
Nombre de pages : 200
Date de publication : 08 2000

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