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The Statistical Mechanics of Financial Markets (Paperback, Softcover reprint of hardcover 3rd ed. 2005)
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The Statistical Mechanics of Financial Markets (Paperback, Softcover reprint of hardcover 3rd ed. 2005)
Series: Theoretical and Mathematical Physics
Expected to ship within 10 - 15 working days
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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.
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