Quantitative Finance for Physicists: An Introduction

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Academic Press, 2005 - Business & Economics - 167 pages
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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.

* Short, self-contained book for physicists to master basic concepts and quantitative methods of finance
* Growing field-many physicists are moving into finance positions because of the high-level math required
*Draws on the author's own experience as a physicist who moved into a financial analyst position
 

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The table of contents read like the development of my intersts. Probability, Stochasitic Process, Time Series, Fractals, Scaling, ... This short book crams many key concepts in. It's a bit of a tiresome read with many equations and a fairly high level review that often leaves out a verbal description that leaves one with a lasting feeling for the usefulness of the concept in practice. (compared to Wilmot's work, anyway). The compactness is appreciated though as I travel around with too many books. 

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
Chaptert 10 Portfolio Management
111
Chapter 11 Market Risk Measurement
121
Chapter 12 AgentBased Modeling of Financial Markets
129
Comments
145
References
149
Answers to Exercises
159
Index
161
Copyright

Chapter 9 Option Pricing
93

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About the author (2005)

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.

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