Jean-Philippe Bouchaud

Marc Potters

From Statistical Physics to Risk Management

Theory of Financial Risks

Martin Gould

Julius Bonart

Jonathan Donier

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

Financial Markets Under the Microscope

Trades, Quotes and Prices

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Theory of Financial Risk and Derivative Pricing

Ludovic Berthier

Giulio Biroli

Luca Cipelletti

Wim van Saarloos

Most of the solid materials we use in everyday life, from plastics to cosmetic gels exist under a non-crystalline, amorphous form: they are glasses. Yet, we are still seeking a fundamental explanation as to what glasses really are and to why they form. In this book, we survey the most recent theoretical and experimental research dealing with glassy physics, from molecular to colloidal glasses and granular media. Leading experts in this field present broad and original perspectives on one of the deepest mysteries of condensed matter physics, with an emphasis on the key role played by heterogeneities in the dynamics of glassiness.

Dynamical Heterogeneities in Glasses, Colloids, and Granular Media

Thierry Foucault

Frédéric Abergel

Mathieu Rosenbaum

Charles-Albert Lehalle

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Confronting Many Viewpoints

Market Microstructure

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

An intuitive, up-to-date introduction to random matrix theory and free calculus, with real world illustrations and Big Data applications.

Jean-Philippe Bouchaud

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