Elements for a theory of financial risks

DOI10.1016/S0378-4371(00)00269-7zbMath1059.91508arXivcond-mat/9806101OpenAlexW2130021107WikidataQ127248969 ScholiaQ127248969MaRDI QIDQ1577075

Jean-Philippe Bouchaud

Publication date: 29 August 2000

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9806101

zbMATH Keywords

statistical propertiesscalingstatistical modelsrisk controlrisk estimationtheoretical modelsoption pricing theoryGaussian statisticsempirical price fluctuationspower law correlationsreal market prices

Mathematics Subject Classification ID

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Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Pricing Risky Options Simply
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• On Quadratic Cost Criteria for Option Hedging

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