Quantitative Finance for Physicists
An Introduction
Published on 20. January 2005
Book
Hardback
184 pages
978-0-12-088464-3 (ISBN)
Description
With 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 management, and risk measurement. This book provides the basic knowledge in finance required to enable readers with physics backgrounds to move successfully into the financial industry.
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 management, and risk measurement. This book provides the basic knowledge in finance required to enable readers with physics backgrounds to move successfully into the financial industry.
Reviews / Votes
"... Schmidt's book is the most pedagogical among the few good econophysics books to have appeared in the last years. I am going to use it whenever teaching econophysics to young researchers.... A very positive contribution, giving the new generation of scientists a balanced, interdisciplinary, yet soundly professional background in this fascinating and promising field." --Sorin Solomon, Professor at the Racah Institute of Physics, Hebrew University of Jerusalem and Director of the Multi-Agent Systems Division at the Institute for Scientific Interchange, Torino"...What amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly. I will recommend this book to my own financial economics students as an up-to-date, quick reference companion to classes and the lab." --Sergio Da Silva, Department of Economics, Federal University of Santa Catarina, Brazil
More details
Series
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
College/higher education
Physics students following a course on finance worldwide, students in econophysics and quantitative finance, physicists interested in moving into professional finance positions.
Dimensions
Height: 229 mm
Width: 152 mm
Weight
430 gr
ISBN-13
978-0-12-088464-3 (9780120884643)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
E-Book
07/2010
Academic Press
€43.99
Available for download
Book
12/2004
Academic Press
€79.00
Article not available for order
Person
Dr. Anatoly.B. Schmidt holds M.S. and Ph.D. in Physics from Latvian University, Riga. For more than 10 years, Dr. Schmidt was the lead modeling scientist at the Latvian Center for Biological, Medical, and Ecological Research. In the 90s, he was engaged for several years in development of computational chemistry software and in its applications to life sciences. His research interests include modeling "of anything", from biological processes to financial markets. His major fields of expertise are the statistical physics, in particular, the theory of fluids, (poly)electrolytes and plasmas, the solvation theory and its applications in biology, and, most recently, quantitative finance. Dr. Schmidt is the author of the book "Statistical thermodynamics of classical plasmas" (Energoatomizdat, Moscow, 1991), and more than 40 publications in biophysics, statistical and chemical physics, and econophysics. Dr. A.B. Schmidt has been a financial data analyst since 1997.
Content
1. Introduction; 2. Financial Markets; 3. Probability Distributions; 4. Stochastic Processes; 5. Time Series Analysis; 6. Fractals; 7. Nonlinear dynamic systems; 8. Scaling in Financial Times Series; 9. Option Pricing; 10. Portfolio Management; 11. Market Risk Measurement; 12. Agent-based modelling of financial markets; Comments; References; Answers to Exercises; Index