金融市场统计力学

non-stable scaling, temporal and interasset correlations in financial markets

6. turbulence and foreign exchange markets

7. derivative pricing beyond black-scholes

8. microscopic market models

10. risk management

9. Theory of Stock Exhange Crashes

11. economic and regulatory capital for financial institutions

appendix

notes and references

index

the present third edition of the statistical mechanics of financial markets is published only four years after the first edition. the success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to financial markets. i am very grateful to readers and reviewers for their positive reception and comments. why then prepare a new edition instead of only reprinting and correcting the second editionthe new edition has been significantly expanded, giving it a more prac-tical twist towards banking. the most important extensions are due to my practical experience as a risk manager in the german savings banks' asso-ciation (dsgv) two new chapters on risk management and on the closely related topic of economic and regulatory capital for financial institutions, re-spectively, have been added. the chapter on risk management contains both the basics as well as advanced topics, e.g. coherent risk measures, which have not yet reached the statistical physics community interested in financial mar-kets.