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金融风险和衍生证券定价理论——从统计物理到风险管理 (第2版)(影印版)

作者：
Jean-Philippe Bouchaud 等著
定价：
55.00 元
版面字数：
560千字
开本：
16开
装帧形式：
平装
版次：
1
最新版次
印刷时间：
2008年
ISBN：
978-7-04-023982-9
物料号：
23982-00
出版时间：
2008-05-30
读者对象：
学术著作
一级分类：
自然科学
二级分类：
数学与统计
三级分类：
金融数学

本书由剑桥大学出版社出版，原书名为：Financial Engineering and Computation: Principles, Mathematics, and Algorithms，是一本非常优秀的有关金融计算的图书。 如今打算在金融领域工作的学生和专家不仅要掌握先进的概念和数学模型，还要学会如何在计算上实现这些模型。《金融风险和衍生证券定价理论》内容广泛，不仅介绍了金融工程背后的理论和数学，并把重点放在了计算上，以便和金融工程在今天资本市场的实际运作保持一致。《金融风险和衍生证券定价理论》不同于大多数的有关投资、金融工程或者衍生证券方面的书，而是从金融的基本想法开始，逐步建立理论。作者提供了很多定价、风险评估以及项目组合管理的算法和理论。

  • 目录
    • 1 Probability theory:basic notions
      • 1.1 Introduction
        • 1.2 Probability distributions
          • 1.3 Typical values and deviations
            • 1.4 Moments and characteristic function
              • 1.5 Divergence of moments-asymptotic behaviour
                • 1.6 Gaussian distribution
                  • 1.7 Log-normal distribution
                    • 1.8 Levy distributions and Paretian tails
                      • 1.9 Other distributions（*）
                        • 1.10 Summary
                        • 2 Maximum and addition of random variables
                          • 2.1 Maximum of random variables
                            • 2.2 Sums of random variables
                              • 2.2.1 Convolutions
                                • 2.2.2 Additivity of cumulants and of tail amplitudes
                                  • 2.2.3 Stable distributions and self-similarity
                                  • 2.3 Central limit theorem
                                    • 2.3.1 Convergence to a Gaussian
                                      • 2.3.2 Convergence to a Levy distribution
                                        • 2.3.3 Large deviations
                                          • 2.3.4 Steepest descent method and Cramer function（*）
                                            • 2.3.5 The CLT at work on simple cases
                                              • 2.3.6 Truncated Levy distributions
                                                • 2.3.7 Conclusion:survival and vanishing of tails
                                                • 2.4 From sum to max:progressive dominance of extremes（*）
                                                  • 2.5 Linear correlations and fractional Brownian motion
                                                    • 2.6 Summary
                                                    • 3 Continuous time limit, Ito calculus and path integrals
                                                      • 3.1 Divisibility and the continuous time limit
                                                        • 3.1.1 Divisibility
                                                          • 3.1.2 Infinite divisibility
                                                            • 3.1.3 Poisson jump processes
                                                            • 3.2 Functions of the Brownian motion and Ito calculus
                                                              • 3.2.1 Ito's lemma
                                                                • 3.2.2 Novikov's formula
                                                                  • 3.2.3 Stratonovich's prescription
                                                                  • 3.3 Other techniques
                                                                    • 3.3.1 Path integrals
                                                                      • 3.3.2 Girsanov's formula and the Martin-Siggia-Rose trick（*）
                                                                      • 3.4 Summary
                                                                      • 4 Analysis of empirical data
                                                                        • 4.1 Estimating probability distributions
                                                                          • 4.1.1 Cumulative distribution and densities-rank histogram
                                                                            • 4.1.2 Kolmogorov-Smirnov test
                                                                              • 4.1.3 Maximum likelihood
                                                                                • 4.1.4 Relative likelihood
                                                                                  • 4.1.5 A general caveat
                                                                                  • 4.2 Empirical moments:estimation and error
                                                                                    • 4.2.1 Empirical mean
                                                                                      • 4.2.2 Empirical variance and MAD
                                                                                        • 4.2.3 Empirical kurtosis
                                                                                          • 4.2.4 Error on the volatility
                                                                                          • 4.3 Correlograms and variograms
                                                                                            • 4.3.1 Variogram
                                                                                              • 4.3.2 Correlogram
                                                                                                • 4.3.3 Hurst exponent
                                                                                                  • 4.3.4 Correlations across different time zones
                                                                                                  • 4.4 Data with heterogeneous volatilities
                                                                                                    • 4.5 Summary
                                                                                                    • 5 Financial products and financial markets
                                                                                                      • 5.1 Introduction
                                                                                                        • 5.2 Financial products
                                                                                                          • 5.2.1 Cash（Interbank market）
                                                                                                            • 5.2.2 Stocks
                                                                                                              • 5.2.3 Stock indices
                                                                                                                • 5.2.4 Bonds
                                                                                                                  • 5.2.5 Commodities
                                                                                                                    • 5.2.6 Derivatives
                                                                                                                    • 5.3 Financial markets
                                                                                                                      • 5.3.1 Market participants
                                                                                                                        • 5.3.2 Market mechanisms
                                                                                                                          • 5.3.3 Discreteness
                                                                                                                            • 5.3.4 The order book
                                                                                                                              • 5.3.5 The bid-ask spread
                                                                                                                                • 5.3.6 Transaction costs
                                                                                                                                  • 5.3.7 Time zones, overnight, seasonalities
                                                                                                                                  • 5.4 Summary
                                                                                                                                  • 6 Statistics of real prices:basic results
                                                                                                                                    • 6.1 Aim of the chapter
                                                                                                                                      • 6.2 Second-order statistics
                                                                                                                                        • 6.2.1 Price increments vs. returns
                                                                                                                                          • 6.2.2 Autocorrelation and power spectrum
                                                                                                                                          • 6.3 Distribution of returns over different time scales
                                                                                                                                            • 6.3.1 Presentation of the data
                                                                                                                                              • 6.3.2 The distribution of returns
                                                                                                                                                • 6.3.3 Convolutions
                                                                                                                                                • 6.4 Tails,what tails?
                                                                                                                                                  • 6.5 Extreme markets
                                                                                                                                                    • 6.6 Discussion
                                                                                                                                                      • 6.7 Summary
                                                                                                                                                      • 7 Non-linear correlations and volatility fluctuations
                                                                                                                                                        • 7.1 Non-linear correlations and dependence
                                                                                                                                                          • 7.1.1 Non identical variables
                                                                                                                                                            • 7.1.2 A stochastic volatility model
                                                                                                                                                              • 7.1.3 GARCH(1,1)
                                                                                                                                                                • 7.1.4 Anomalous kurtosis
                                                                                                                                                                  • 7.1.5 The case of infinite kurtosis
                                                                                                                                                                  • 7.2 Non-linear correlations in financial markets:empirical results
                                                                                                                                                                    • 7.2.1 Anomalous decay of the cumulants
                                                                                                                                                                      • 7.2.2 Volatility correlations and variogram
                                                                                                                                                                      • 7.3 Models and mechanisms
                                                                                                                                                                        • 7.3.1 Multifractality and multifractal models（*）
                                                                                                                                                                          • 7.3.2 The microstructure of volatility
                                                                                                                                                                          • 7.4 Summary
                                                                                                                                                                          • 8 Skewness and price-volatility correlations
                                                                                                                                                                            • 8.1 Theoretical considerations
                                                                                                                                                                              • 8.1.1 Anomalous skewness of sums of random variables
                                                                                                                                                                                • 8.1.2 Absolute vs. relative price changes
                                                                                                                                                                                  • 8.1.3 The additive-multiplicative crossover and the q-transformation
                                                                                                                                                                                  • 8.2 A retarded model
                                                                                                                                                                                    • 8.2.1 Definition and basic properties
                                                                                                                                                                                      • 8.2.2 Skewness in the retarded model
                                                                                                                                                                                      • 8.3 Price-volatility correlations:empirical evidence
                                                                                                                                                                                        • 8.3.1 Leverage effect for stocks and the retarded model
                                                                                                                                                                                          • 8.3.2 Leverage effect for indices
                                                                                                                                                                                            • 8.3.3 Return-volume correlations
                                                                                                                                                                                            • 8.4 The Heston model:a model with volatility fluctuations and skew
                                                                                                                                                                                              • 8.5 Summary
                                                                                                                                                                                              • 9 Cross-correlations
                                                                                                                                                                                                • 9.1 Correlation matrices and principal component analysis
                                                                                                                                                                                                  • 9.1.1 Introduction
                                                                                                                                                                                                    • 9.1.2 Gaussian correlated variables
                                                                                                                                                                                                      • 9.1.3 Empirical correlation matrices
                                                                                                                                                                                                      • 9.2 Non-Gaussian correlated variables
                                                                                                                                                                                                        • 9.2.1 Sums of non Gaussian variables
                                                                                                                                                                                                          • 9.2.2 Non-linear transformation of correlated Gaussian variables
                                                                                                                                                                                                            • 9.2.3 Copulas
                                                                                                                                                                                                              • 9.2.4 Comparison of the two models
                                                                                                                                                                                                                • 9.2.5 Multivariate Student distributions
                                                                                                                                                                                                                  • 9.2.6 Multivariate Levy variables（*）
                                                                                                                                                                                                                    • 9.2.7 Weakly non Gaussian correlated variables（*）
                                                                                                                                                                                                                    • 9.3 Factors and clusters
                                                                                                                                                                                                                      • 9.3.1 One factor models
                                                                                                                                                                                                                        • 9.3.2 Multi-factor models
                                                                                                                                                                                                                          • 9.3.3 Partition around medoids
                                                                                                                                                                                                                            • 9.3.4 Eigenvector clustering
                                                                                                                                                                                                                              • 9.3.5 Maximum spanning tree
                                                                                                                                                                                                                              • 9.4 Summary
                                                                                                                                                                                                                                • 9.5 Appendix A:central limit theorem for random matrices
                                                                                                                                                                                                                                  • 9.6 Appendix B: density of eigenvalues for random correlation matrices
                                                                                                                                                                                                                                  • 10 Risk measures
                                                                                                                                                                                                                                    • 10.1 Risk measurement and diversification
                                                                                                                                                                                                                                      • 10.2 Risk and volatility
                                                                                                                                                                                                                                        • 10.3 Risk of loss, value at risk'(VaR) and expected shortfall
                                                                                                                                                                                                                                          • 10.3.1 Introduction
                                                                                                                                                                                                                                            • 10.3.2 Value-at-risk
                                                                                                                                                                                                                                              • 10.3.3 Expected shortfall
                                                                                                                                                                                                                                              • 10.4 Temporal aspects: drawdown and cumulated loss
                                                                                                                                                                                                                                                • 10.5 Diversification and utility-satisfaction thresholds
                                                                                                                                                                                                                                                  • 10.6 Summary
                                                                                                                                                                                                                                                  • 11 Extreme correlations and variety
                                                                                                                                                                                                                                                    • 11.1 Extreme event correlations
                                                                                                                                                                                                                                                      • 11.1.1 Correlations conditioned on large market moves
                                                                                                                                                                                                                                                        • 11.1.2 Real data and surrogate data
                                                                                                                                                                                                                                                          • 11.1.3 Conditioning on large individual stock returns:exceedance correlations
                                                                                                                                                                                                                                                            • 11.1.4 Tail dependence
                                                                                                                                                                                                                                                              • 11.1.5 Tail covariance（*）
                                                                                                                                                                                                                                                              • 11.2 Variety and conditional statistics of the residuals
                                                                                                                                                                                                                                                                • 11.2.1 The variety
                                                                                                                                                                                                                                                                  • 11.2.2 The variety in the one-factor model
                                                                                                                                                                                                                                                                    • 11.2.3 Conditional variety of the residuals
                                                                                                                                                                                                                                                                      • 11.2.4 Conditional skewness of the residuals
                                                                                                                                                                                                                                                                      • 11.3 Summary
                                                                                                                                                                                                                                                                        • 11.4 Appendix C:some useful results on power-law variables
                                                                                                                                                                                                                                                                        • 12 Optimal portfolios
                                                                                                                                                                                                                                                                          • 12.1 Portfolios of uncorrelated assets
                                                                                                                                                                                                                                                                            • 12.1.1 Uncorrelated Gaussian assets
                                                                                                                                                                                                                                                                              • 12.1.2 Uncorrelated'power-law' assets
                                                                                                                                                                                                                                                                                • 12.1.3 'Exponential' assets
                                                                                                                                                                                                                                                                                  • 12.1.4 General case: optimal portfolio and VaR（*）
                                                                                                                                                                                                                                                                                  • 12.2 Portfolios of correlated assets
                                                                                                                                                                                                                                                                                    • 12.2.1 Correlated Gaussian fluctuations
                                                                                                                                                                                                                                                                                      • 12.2.2 Optimal portfolios with non-linear constraints（*）
                                                                                                                                                                                                                                                                                        • 12.2.3 'Power-law' fluctuations-linear model（*）
                                                                                                                                                                                                                                                                                          • 12.2.4 'Power-law' fluctuations-Student model（*）
                                                                                                                                                                                                                                                                                          • 12.3 Optimized trading
                                                                                                                                                                                                                                                                                            • 12.4 Value-at-risk-general non-linear portfolios（*）
                                                                                                                                                                                                                                                                                              • 12.4.1 Outline of the method: identifying worst cases
                                                                                                                                                                                                                                                                                                • 12.4.2 Numerical test of the method
                                                                                                                                                                                                                                                                                                • 12.5 Summary
                                                                                                                                                                                                                                                                                                • 13 Futures and options: fundamental concepts
                                                                                                                                                                                                                                                                                                  • 13.1 Introduction
                                                                                                                                                                                                                                                                                                    • 13.1.1 Aim of the chapter
                                                                                                                                                                                                                                                                                                      • 13.1.2 Strategies in uncertain conditions
                                                                                                                                                                                                                                                                                                        • 13.1.3 Trading strategies and efficient markets
                                                                                                                                                                                                                                                                                                        • 13.2 Futures and forwards
                                                                                                                                                                                                                                                                                                          • 13.2.1 Setting the stage
                                                                                                                                                                                                                                                                                                            • 13.2.2 Global financial balance
                                                                                                                                                                                                                                                                                                              • 13.2.3 Riskless hedge
                                                                                                                                                                                                                                                                                                                • 13.2.4 Conclusion:global balance and arbitrage
                                                                                                                                                                                                                                                                                                                • 13.3 Options:definition and valuation
                                                                                                                                                                                                                                                                                                                  • 13.3.1 Setting the stage
                                                                                                                                                                                                                                                                                                                    • 13.3.2 Orders of magnitude
                                                                                                                                                                                                                                                                                                                      • 13.3.3 Quantitative analysis-option price
                                                                                                                                                                                                                                                                                                                        • 13.3.4 Real option prices, volatility smile and ‘implied’kurtosis
                                                                                                                                                                                                                                                                                                                          • 13.3.5 The case of an infinite kurtosis
                                                                                                                                                                                                                                                                                                                          • 13.4 Summary
                                                                                                                                                                                                                                                                                                                          • 14 Options:hedging and residual risk
                                                                                                                                                                                                                                                                                                                            • 14.1 Introduction
                                                                                                                                                                                                                                                                                                                              • 14.2 Optimal hedging strategies
                                                                                                                                                                                                                                                                                                                                • 14.2.1 A simple case: static hedging
                                                                                                                                                                                                                                                                                                                                  • 14.2.2 The general case and‘△’hedging
                                                                                                                                                                                                                                                                                                                                    • 14.2.3 Global hedging vs. instantaneous hedging
                                                                                                                                                                                                                                                                                                                                    • 14.3 Residual risk
                                                                                                                                                                                                                                                                                                                                      • 14.3.1 The Black-Scholes miracle
                                                                                                                                                                                                                                                                                                                                        • 14.3.2 The‘stop-loss’strategy does not work
                                                                                                                                                                                                                                                                                                                                          • 14.3.3 Instantaneous residual risk and kurtosis risk
                                                                                                                                                                                                                                                                                                                                            • 14.3.4 Stochastic volatility models
                                                                                                                                                                                                                                                                                                                                            • 14.4 Hedging errors. A variational point of view
                                                                                                                                                                                                                                                                                                                                              • 14.5 Other measures of risk-hedging and VaR （*）
                                                                                                                                                                                                                                                                                                                                                • 14.6 Conclusion of the chapter
                                                                                                                                                                                                                                                                                                                                                  • 14.7 Summary
                                                                                                                                                                                                                                                                                                                                                    • 14.8 Appendix D
                                                                                                                                                                                                                                                                                                                                                    • 15 Options: the role of drift and correlations
                                                                                                                                                                                                                                                                                                                                                      • 15.1 Influence of drift on optimally hedged option
                                                                                                                                                                                                                                                                                                                                                        • 15.1.1 A perturbative expansion
                                                                                                                                                                                                                                                                                                                                                          • 15.1.2 ‘Risk neutral’probability and martingales
                                                                                                                                                                                                                                                                                                                                                          • 15.2 Drift risk and delta-hedged options
                                                                                                                                                                                                                                                                                                                                                            • 15.2.1 Hedging the drift risk
                                                                                                                                                                                                                                                                                                                                                              • 15.2.2 The price of delta-hedged options
                                                                                                                                                                                                                                                                                                                                                                • 15.2.3 A general option pricing formula
                                                                                                                                                                                                                                                                                                                                                                • 15.3 Pricing and hedging in the presence of temporal correlations（*）
                                                                                                                                                                                                                                                                                                                                                                  • 15.3.1 A general model of correlations
                                                                                                                                                                                                                                                                                                                                                                    • 15.3.2 Derivative pricing with small correlations
                                                                                                                                                                                                                                                                                                                                                                      • 15.3.3 The case of delta-hedging
                                                                                                                                                                                                                                                                                                                                                                      • 15.4 Conclusion
                                                                                                                                                                                                                                                                                                                                                                        • 15.4.1 Is the price of an option unique?
                                                                                                                                                                                                                                                                                                                                                                          • 15.4.2 Should one always optimally hedge?
                                                                                                                                                                                                                                                                                                                                                                          • 15.5 Summary
                                                                                                                                                                                                                                                                                                                                                                            • 15.6 Appendix E
                                                                                                                                                                                                                                                                                                                                                                            • 16 Options:the Black and Scholes model
                                                                                                                                                                                                                                                                                                                                                                              • 16.1 Ito calculus and the Black-Scholes equation
                                                                                                                                                                                                                                                                                                                                                                                • 16.1.1 The Gaussian Bachelier model
                                                                                                                                                                                                                                                                                                                                                                                  • 16.1.2 Solution and Martingale
                                                                                                                                                                                                                                                                                                                                                                                    • 16.1.3 Time value and the cost of hedging
                                                                                                                                                                                                                                                                                                                                                                                      • 16.1.4 The Log-normal Black-Scholes model
                                                                                                                                                                                                                                                                                                                                                                                        • 16.1.5 General pricing and hedging in a Brownian world
                                                                                                                                                                                                                                                                                                                                                                                          • 16.1.6 The Greeks
                                                                                                                                                                                                                                                                                                                                                                                          • 16.2 Drift and hedge in the Gaussian model（*）
                                                                                                                                                                                                                                                                                                                                                                                            • 16.2.1 Constant drift
                                                                                                                                                                                                                                                                                                                                                                                              • 16.2.2 Price dependent drift and the Ornstein-Uhlenbeck paradox
                                                                                                                                                                                                                                                                                                                                                                                              • 16.3 The binomial model
                                                                                                                                                                                                                                                                                                                                                                                                • 16.4 Summary
                                                                                                                                                                                                                                                                                                                                                                                                • 17 Options:some more specific problems
                                                                                                                                                                                                                                                                                                                                                                                                  • 17.1 Other elements of the balance sheet
                                                                                                                                                                                                                                                                                                                                                                                                    • 17.1.1 Interest rate and continuous dividends
                                                                                                                                                                                                                                                                                                                                                                                                      • 17.1.2 Interest rate corrections to the hedging strategy
                                                                                                                                                                                                                                                                                                                                                                                                        • 17.1.3 Discrete dividends
                                                                                                                                                                                                                                                                                                                                                                                                          • 17.1.4 Transaction costs
                                                                                                                                                                                                                                                                                                                                                                                                          • 17.2 Other types of options
                                                                                                                                                                                                                                                                                                                                                                                                            • 17.2.1 ‘Put-call’parity
                                                                                                                                                                                                                                                                                                                                                                                                              • 17.2.2 ‘Digital’options
                                                                                                                                                                                                                                                                                                                                                                                                                • 17.2.3 ‘Asian’options
                                                                                                                                                                                                                                                                                                                                                                                                                  • 17.2.4 ‘American’options
                                                                                                                                                                                                                                                                                                                                                                                                                    • 17.2.5 ‘Barrier’options（*）
                                                                                                                                                                                                                                                                                                                                                                                                                      • 17.2.6 Other types of options
                                                                                                                                                                                                                                                                                                                                                                                                                      • 17.3 The ‘Greeks’and risk control
                                                                                                                                                                                                                                                                                                                                                                                                                        • 17.4 Risk diversification（*）
                                                                                                                                                                                                                                                                                                                                                                                                                          • 17.5 Summary
                                                                                                                                                                                                                                                                                                                                                                                                                          • 18 Options:minimum variance Monte-Carlo
                                                                                                                                                                                                                                                                                                                                                                                                                            • 18.1 Plain Monte-Carlo
                                                                                                                                                                                                                                                                                                                                                                                                                              • 18.1.1 Motivation and basic principle
                                                                                                                                                                                                                                                                                                                                                                                                                                • 18.1.2 Pricing the forward exactly
                                                                                                                                                                                                                                                                                                                                                                                                                                  • 18.1.3 Calculating the Greeks
                                                                                                                                                                                                                                                                                                                                                                                                                                    • 18.1.4 Drawbacks of the method
                                                                                                                                                                                                                                                                                                                                                                                                                                    • 18.2 An ‘hedged’Monte-Carlo method
                                                                                                                                                                                                                                                                                                                                                                                                                                      • 18.2.1 Basic principle of the method
                                                                                                                                                                                                                                                                                                                                                                                                                                        • 18.2.2 A linear parameterization of the price and hedge
                                                                                                                                                                                                                                                                                                                                                                                                                                          • 18.2.3 The Black-Scholes limit
                                                                                                                                                                                                                                                                                                                                                                                                                                          • 18.3 Non Gaussian models and purely historical option pricing
                                                                                                                                                                                                                                                                                                                                                                                                                                            • 18.4 Discussion and extensions. Calibration
                                                                                                                                                                                                                                                                                                                                                                                                                                              • 18.5 Summary
                                                                                                                                                                                                                                                                                                                                                                                                                                                • 18.6 Appendix F:generating some random variables
                                                                                                                                                                                                                                                                                                                                                                                                                                                • 19 The yield curve
                                                                                                                                                                                                                                                                                                                                                                                                                                                  • 19.1 Introduction
                                                                                                                                                                                                                                                                                                                                                                                                                                                    • 19.2 The bond market
                                                                                                                                                                                                                                                                                                                                                                                                                                                      • 19.3 Hedging bonds with other bonds
                                                                                                                                                                                                                                                                                                                                                                                                                                                        • 19.3.1 The general problem
                                                                                                                                                                                                                                                                                                                                                                                                                                                          • 19.3.2 The continuous time Gaussian limit
                                                                                                                                                                                                                                                                                                                                                                                                                                                          • 19.4 The equation for bond pricing
                                                                                                                                                                                                                                                                                                                                                                                                                                                            • 19.4.1 A general solution
                                                                                                                                                                                                                                                                                                                                                                                                                                                              • 19.4.2 The Vasicek model
                                                                                                                                                                                                                                                                                                                                                                                                                                                                • 19.4.3 Forward rates
                                                                                                                                                                                                                                                                                                                                                                                                                                                                  • 19.4.4 More general models
                                                                                                                                                                                                                                                                                                                                                                                                                                                                  • 19.5 Empirical study of the forward rate curve
                                                                                                                                                                                                                                                                                                                                                                                                                                                                    • 19.5.1 Data and notations
                                                                                                                                                                                                                                                                                                                                                                                                                                                                      • 19.5.2 Quantities of interest and data analysis
                                                                                                                                                                                                                                                                                                                                                                                                                                                                      • 19.6 Theoretical considerations（*）
                                                                                                                                                                                                                                                                                                                                                                                                                                                                        • 19.6.1 Comparison with the Vasicek model
                                                                                                                                                                                                                                                                                                                                                                                                                                                                          • 19.6.2 Market price of risk
                                                                                                                                                                                                                                                                                                                                                                                                                                                                            • 19.6.3 Risk-premium and the θ law
                                                                                                                                                                                                                                                                                                                                                                                                                                                                            • 19.7 Summary
                                                                                                                                                                                                                                                                                                                                                                                                                                                                              • 19.8 Appendix G:optimal portfolio of bonds
                                                                                                                                                                                                                                                                                                                                                                                                                                                                              • 20 Simple mechanisms for anomalous price statistics
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                • 20.1 Introduction
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  • 20.2 Simple models for herding and mimicry
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    • 20.2.1 Herding and percolation
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      • 20.2.2 Avalanches of opinion changes
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      • 20.3 Models of feedback effects on price fluctuations
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        • 20.3.1 Risk-aversion induced crashes
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          • 20.3.2 A simple model with volatility correlations and tails
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            • 20.3.3 Mechanisms for long ranged volatility correlations
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            • 20.4 The Minority Game
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              • 20.5 Summary
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              • Index of most important symbols

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