Schmidt A.B. Quantitative Finance for Physicists: an introduction

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размер 2 МБ
добавлен 04 октября 2011 г.

Burlington, Elsevier Academic Press, 2005. - 179p.

Краткий курс финансов "для физиков, желающих играть на Уолл-стрит". Включает в себя общее описание финансовых рынков, краткое повторение сведений из теории вероятностей, случайных процессов и анализа временных рядов, рассказ о фракталах, динамических системах и скейлинге применительно к рынкам, сведения об опционном ценообразовании, управлении портфелем и риск-менеджменте, описание моделей рынка на основе коллектив агентов.
Для лиц, интересующихся применением точных методов в финансах, но скорее для начального ознакомления, чем для реальной деятельности.

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