Kirill Ilinski

Physics of Finance: Gauge Modelling in Non-Equilibrium Pricing

Издательство: John Wiley and Sons, Ltd, 2001 г.
0-471-87738-7
Книгопечатная продукция
Объем: 340 стр.

In Physics of Finance Kirill Ilinski offers the first insight in book form into what could become a totally new approach to pricing financial assets.

Equilibrium asset pricing is a cornerstone of contemporary finance and is widely used for a variety of purposes, from asset allocation to risk management. However, recent events, such as the collapse of Long Term Capital Management has prompted the need to re-examine the basic assumptions underlying equilibrium pricing. In response, and based on several year`s research and work that applies the methods of theoretical physics to financial economics, the author has developed an important new approach that steps outside the equilibrium paradigm in finance.

In Physics of Finance: Basic assumptions underlying equilibrium pricing are re-examined The risk factors hidden in the implications of equilibrium theory and the potential profit in unstable markets are discussed at length Gauge modelling, an important new approach to the problem of tackling non-equilibrium pricing, is introduced Physics of Finance has the potential to set off a new wave of thinking in financial circles. Written by a respected physicist and endorsed by highly regarded financial academics, thisbook will certainly generate heated debate and keen controversy in the financial community, both in academic and professional circles. Proving invaluable traders and financial engineers. Physics of Finance could be the first major step in a new journey in finance.

"The author applies field theory to non-equilibrium market dynamics thus opening an entirely new view on the subject. The result is a highly entertaining read packed with novel ideas. It will be a constant source of inspiration for both theoretical physicists and financial analysts for years to come"
Oliver Brockhaus, Head of Equity Derivatives Research, Chase

"A fascinating book and an excellent read. Refreshingly different from the thousands of nondescript books on quantitative finance."
Paul Wilmott

Посмотрите также...

Rocket Science for Traders: Digital Signal Processing Applications

Predict the future more accurately in today`s difficult trading times. The Holy Grail of trading is knowing what the markets will do next. Technical analysis is the art of predicting the market based on tested systems. Some systems work well ......

Price Dynamics in Equilibrium Models - The Search for Equilibrium and the Emergence of Endogenous Fluctuations

A long-standing unsolved problem in economic theory is how economic equilibria are attained. Price Dynamics in Equilibrium Models: The Search for Equilibrium and the Emergence of Endogenous Fluctuations considers a number of adjustment processes ......

The Econometrics of Financial Markets

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk ......

Interest Rate Models: An Introduction

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, ......

The Nasdaq Trader's Toolkit

Make direct access equal trading success. "LaBier has compiled a fascinating study of modern market execution systems. An instant classic that should find a prominent home on every trader`s bookshelf". Alan S.Farley, author, Master Swing Trader, ......

Portfolio Theory and Performance Analysis

For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management`s transition from an "art and craft" to an industry has inevitably ......

The Volatility Course Workbook: Step-by-Step Exercises to Help You Master the Volatility Course

It takes a special set of trading skills to thrive in today`s intensely volatile markets, where point swings of plus or minus 200 points can occur on a weekly, sometimes daily, basis. The Volatility Course arms stock and options traders with ......

A Currency Options Primer

Book DescriptionA quick and concise guide to currency options An understanding of currency options is essential for those working in investment and foreign exchange. A Currency Options Primer sets out to give readers a clear guide to how the ......

Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes

Book DescriptionIn recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ......

The Six Sigma Black Belt Handbook (Six SIGMA Operational Methods)

EXTREME SIX SIGMA: A new series that takes Six Sigma to the next level The Six Sigma Operational Methods Series goes beyond simply explaining Six Sigma basics to interested managers--these are hard-core working tools of statistical methods, ......