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Theory of financial risks : from statistical physics to risk management

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

1. Probability theory: basic notions 2. Statistics of real prices 3. Extreme risks and optimal portfolios 4. Futures and options: fundamental concepts 5. Options: some more specific problems Glossary.

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2019Multifractal analysis of financial markets: a review 2014On the Modeling of Financial Time Series 2011Econophysics review: I. Empirical facts 2009Fractal and Multifractal Time Series 2012Quantifying reflexivity in financial markets: Toward a prediction of flash crashes 2006Worrying trends in econophysics 2005Empirical distributions of stock returns: between the stretched exponential and the power law?2007Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach

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