285501 Econophysics (V) (SoSe 2012)

Short description:

After a short introduction the following topics will be covered:
Basic concepts and financial instruments,
Interest rates,
Random walk,
Stocks,
Derivatives,
Option pricing in the ideal market,
Hedging strategies,
Risk measures,
Portfolio theory,
Statistics on real markets.

Literaturangaben

Some Literature:
1)
John C. Hull
Options, Futures and Other Derivatives

2)
Jean-Philippe Bouchaud, Marc Potters,
Theory of Financial Risk and Derivative Pricing:
>From Statistical Physics to Risk Management

3)
Rosario N. Mantegna, H. Eugene Stanley
Introduction to Econophysics: Correlations and Complexity in Finance