The Statistical Mechanics of Financial Markets (Texts and Monographs in Physics)

By Johannes Voit

Book Overview

The third edition of this highly praised reference offers new chapters on the basic notions and tools of risk management, and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. This approach permits the formulation of novel methods for derivative pricing and risk management.

• Format: Paperback
• Language: English
• ISBN: 3642065783
• ISBN13: 9783642065781
• Release Date: October 2010
• Publisher: Springer
• Length: 378 Pages
• Weight: 1.50 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"

Customer Reviews

Interface between physics and finance

The author, Johannes Voit, has taught at the University of Bayreuth and University of Freiburg and has experience as a risk manager in the German Savings Banks' Association. An adequate summary of the material discussed in the book appears on the back cover of the book. I have nothing to add to those comments except that I found that his presentation brought cohesion to a subject matter which, seems to me to be, fragmented and plagued by assumptions.

Outstanding; singular

There is a great review online titled, "Statistical Phynance" by another author. It's on the American Scientist website. That is a great review. I am an investment consultant but my undergrad work was physics and math (I also have a finance mba and have passed a few actuarial exams). I will admit I was a top student in both disciplines (math and physics) at very selective school, and Voit's exploration is not for the easily deterred. I'm sure most people who read this book are much smarter than me--after all, it's a physics text--but I make these comments to be helpful to those wandering over from other disciplines. I only wish I had the time to delve deeply into the subject matter, because that is what this text deserves. As it is, I can read it as an essay and rely on my background in statistics/physics/probability/finance for the intuition required to understand the author's analysis and conclusions--to an extent. This book has me excited about the possible practical applications in my work; to be frank, I think it's revolutionary. But that's just me coming from my little corner of the world.

Good Intro for me

I am a physics grad student thinking about switching to finance. This book is a good start on that path.

Excelllent introduction and very stimulating

This book was my first thorough introduction to this field and I have found it thoroughly enjoyable. The comparisions between the tools of Physics and Finance along with the presentation of empirical data was highly stimulating. The economic terms were presented with lucidity and conciseness and the use of relevant examples in both Physics and Finance made it an easy read. Also of great value was it comparisons of standard economic theory with various tools within Physics. This book also provides a very complete Bibliography where one can find classical and neoclassical economic texts and further references and directions in this relatively new field. I highly reccomend it to any Physicist looking to go into Finance or just as a good read and also to (neo) classical econonomists and financial engineers alike. I also deeply appreciated the respect it showed to economists and its straightforward, non preachy manner that many Physicists are often guilty of! Thanks

Very useful bridge between physics methodologies and finance

Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point. Nassim Nicholas Taleb