Description
Book SynopsisThis book introduces physics students to concepts and methods of finance. Despite being perceived as quite distant from physics, finance shares a number of common methods and ideas, usually related to noise and uncertainties. Juxtaposing the key methods to applications in both physics and finance articulates both differences and common features, this gives students a deeper understanding of the underlying ideas. Moreover, they acquire a number of useful mathematical and computational tools, such as stochastic differential equations, path integrals, Monte-Carlo methods, and basic cryptology. Each chapter ends with a set of carefully designed exercises enabling readers to test their comprehension.
Table of ContentsChapter 1 - Introduction
Chapter 2 - Concepts of finance
Chapter 3 - Portfolio theory and CAPM
Chapter 4 - Stochastic processes
Chapter 5 - Black-Scholes differential equation
Chapter 6 - The Greeks and risk management
Chapter 7 - Regression models and hypothesis testing
Chapter 8 - Time series
Chapter 9 - Bubbles, crashes, fat tails and Levy-stable distributions
Chapter 10 - Quantum finance and path integrals
Chapter 11 - Optimal control theory.
