Elsevier Academic Press
30 Corporate Drive, Suite 400, Burlington, MA 01803, USA
525 B Street, Suite 1900, San Diego, California 92101-4495, USA
84 Theobald’s Road, London WC1X 8RR, UK
This book is printed on acid-free paper.
Copyright # 2005, Elsevier Inc. All rights reserved.
No part of this publication may be reproduced or transmitted in any form or by any
means, electronic or mechanical, including photocopy, recording, or any information
storage and retrieval system, without permission in writing from the publisher.
Permissions may be sought directly from Elsevier’s Science & Technology Rights
Department in Oxford, UK: phone: (þ44) 1865 843830, fax: (þ44) 1865 853333,
e-mail: permissions@elsevier.com.uk. You may also complete your request on-line
via the Elsevier homepage (http://elsevier.com), by selecting ‘‘Customer Support’’
and then ‘‘Obtaining Permissions.’’
Library of Congress Cataloging-in-Publication Data
Application submitted.
British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
ISBN: 0-12-088464-X
For all information on all Elsevier Academic Press publications visit our Web site at
Printed in the United States of America
Table of Contents
Chapter 1
Introduction 1
Chapter 2
Financial Markets 5
Chapter 3
Probability Distributions 17
Chapter 4
Stochastic Processes 29
Chapter 5
Time Series Analysis 43
Chapter 6
Fractals 59
Chapter 7
Nonlinear Dynamical Systems 69
Chapter 8
Scaling in Financial Time Series 87
Chapter 9
Option Pricing 93
Chapter 10
Portfolio Management 111
Chapter 11
Market Risk Measurement 121
Chapter 12
Agent-Based Modeling of Financial Markets 129
Comments 145
References 149
Answers to Exercises 159
Index 161
vi Contents

Get Quantitative Finance for Physicists now with the O’Reilly learning platform.

O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.