Theory of Financial Risk and Derivative Pricing
DOI10.1017/CBO9780511753893zbMATH Open1193.91003OpenAlexW187371506MaRDI QIDQ3634880FDOQ3634880
Authors: Jean-Philippe Bouchaud, Marc Potters 
Publication date: 3 July 2009
Full work available at URL: https://doi.org/10.1017/cbo9780511753893
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Cited In (36)
- Maximum principle for certain generalized time and space fractional diffusion equations
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
- Theory of Financial Risk and Derivative Pricing
- A new estimator method for GARCH models
- Fear and its implications for stock markets
- From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin
- Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae
- A nonextensive approach to the dynamics of financial observables
- An accurate European option pricing model under fractional stable process based on Feynman path integral
- Random matrix application to correlations amongst the volatility of assets
- Econophysics and Physical Economics
- Fat tails arise endogenously from supply/demand, with or without jump processes
- A memory-based method to select the number of relevant components in principal component analysis
- Ensemble properties of high-frequency data and intraday trading rules
- Preface: new trends in first-passage methods and applications in the life sciences and engineering
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- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- Dynamic instability in a phenomenological model of correlated assets
- Fractional-moment capital asset pricing model
- The quantum dark side of the optimal control theory
- Thermal and superthermal income classes in a wealth alike distribution generated by Conway's game of life cellular automaton
- The reactive volatility model
- Semi-Markov model for market microstructure
- Fundamentalists, chartists and asset pricing anomalies
- Reaction to Extreme Events in a Minimal Agent Based Model
- PCA meets RG
- Fractality of profit landscapes and validation of time series models for stock prices
- Statistics of strength of ceramics: finite weakest-link model and necessity of zero threshold
- A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy
- Stochastic flow cascades
- Instanton based importance sampling for rare events in stochastic PDEs
- A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
- Harnessing inequality
- Graph theoretical representations of equity indices and their centrality measures
- Quantitative analysis in financial markets. Collected papers of the New York Universiity Mathematical Finance Seminar
- Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
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