Informal Statistical Physics Seminar
1:15 p.m., Tuesday, May 22, 2001
Room 1116, IPST Building
Financial risks: a physicist's perspective
Jean-Philippe Bouchaud
(CEA, Saclay, France)
Abstract: Estimating and controlling large risks has become
one of the main concern of financial institutions. This requires
the development of adequate statistical models and theoretical tools (which
go beyond the traditional theories based on Gaussian statistics), and their
practical implementation. Here we describe some interrelated aspects
of this program: we first give a brief survey of the peculiar statistical
properties of the empirical price fluctuations. We then review how
an option pricing theory consistent with these statistical features can
be constructed, and compared with real market prices for options.
Some attempts to build "microscopic" models of financial markets will be
briefly mentioned.
Host: Victor
Yakovenko
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