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ISBN: 0471877387Издательство: John Wiley & Sons
In Physics of Finance Kirill Ilinski offers the first insight in book form into what could become a totally new approach to pricing financial assets. Equilibrium asset pricing is a cornerstone of contemporary finance and is widely used for a variety of purposes, from asset allocation to risk management. However, recent events, such as the collapse of Long Term Capital Management has prompted the need to re-examine the basic assumptions underlying equilibrium pricing. In response, and based on several year's research and work that applies the methods of theoretical physics to financial economics, the author has developed an important new approach that steps outside the equilibrium paradigm in finance. In Physics of Finance: Basic assumptions underlying equilibrium pricing are re-examined The risk factors hidden in the implications of equilibrium theory and the potential profit in unstable markets are discussed at length Gauge modelling, an important...