这本《法律文本与法律翻译(原创版)》由德国的J. Voit所著，主要内容是：the new edition has been significantly expanded, giving it a more practical 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 markets.

1. Introduction

1.1 Motivation

1.2 Why Physicists? Why Models of Physics?

1.3 Physics and Finance - Historical

1.4 Aims of this Book

2. Basic Information on Capital Markets

2.1 Risk

2.2 Assets

2.3 Three Important Derivatives

   2.3.1 Forward Contracts

   2.3.2 Futures Contract

   2.3.3 Options

2.4 Derivative Positions

2.5 Market Actors

2.6 Price Formation at Organized Exchanges

   2.6.1 Order Types

   2.6.2 Price Formation by Auction

   2.6.3 Continuous Trading: The XETRA Computer Trading System

3. Random Walks in Finance and Physics

3.1 Important Questions

3.2 Bachelier's "Theorie de la Speculation"

   3.2.1 Preliminaries

   3.2.2 Probabilities in Stock Market Operations

   3.2.3 Empirical Data on Successful Operations in Stock Markets

   3.2.4 Biographical Information on Louis Bachelier (1870-1946)

3.3 Einstein's Theory of Brownian Motion

   3.3.1 Osmotic Pressure and Diffusion in Suspensions

   3.3.2 Brownian Motion

3.4 Experimental Situation

   3.4.1 Financial Data

   3.4.2 Perrin's Observations of Brownian Motion

   3.4.3 One-Dimensional Motion of Electronic Spins

4. The Black-Scholes Theory of Option Prices

4.1 Important Questions

4.2 Assumptions and Notation

   4.2.1 Assumptions

   4.2.2 Notation

4.3 Prices for Derivatives

   4.3.1 Forward Price

   4.3.2 Futures Price

   4.3.3 Limits on Option Prices

4.4 Modeling Fluctuations of Financial Assets

   4.4.1 Stochastic Processes

   4.4.2 The Standard Model of Stock Prices

   4.4.3 The It6 Lemma

   4.4.4 Log-normal Distributions for Stock Prices

4.5 Option Pricing

   4.5.1 The Black-Scholes Differential Equation

   4.5.2 Solution of the Black-Scholes Equation

   4.5.3 Risk-Neutral Valuation

   4.5.4 American Options

   4.5.5 The Greeks

   4.5.6 Synthetic Replication of Options

   4.5.7 Implied Volatility

   4.5.8 Volatility Indices

5. Scaling in Financial Data and in Physics

5.1 Important Questions

5.2 Stationarity of Financial Markets

5.3 Geometric Brownian Motion

   5.3.1 Price Histories

   5.3.2 Statistical Independence of Price Fluctuations

   5.3.3 Statistics of Price Changes of Financial Assets

5.4 Pareto Laws and Levy Flights

   5.4.1 Definitions

   5.4.2 The Gaussian Distribution and the Central Limit Theorem

   5.4.3 Levy Distributions

   5.4.4 Non-stable Distributions with Power Laws

5.5 Scaling, Levy Distributions, and Levy Flights in Nature

   5.5.1 Criticality and Self-Organized Criticality, Diffusion and Superdiffusion

   5.5.2 Micelles

   5.5.3 Fluid Dynamics

   5.5.4 The Dynamics of the Human Heart

   5.5.5 Amorphous Semiconductors and Glasses

   5.5.6 Superposition of Chaotic Processes

   5.5.7 Tsallis Statistics

5.6 New Developments: Non-stable Scaling, Temporal and Interasset Correlations in Financial Markets

   5.6.1 Non-stable Scaling in Financial Asset Returns

   5.6.2 The Breadth of the Market

   5.6.3 Non-linear Temporal Correlations

   5.6.4 Stochastic Volatility Models

   5.6.5 Cross-Correlations in Stock Markets

6. Turbulence and Foreign Exchange Markets

6.1 Important Questions

6.2 Turbulent Flows

   6.2.1 Phenomenology

   6.2.2 Statistical Description of Turbulence

   6.2.3 Relation to Non-extensive Statistical Mechanics

6.3 Foreign Exchange Markets

   6.3.1 Why Foreign Exchange Markets?

   6.3.2 Empirical Results

   6.3.3 Stochastic Cascade Models

   6.3.4 The Multifractal Interpretation

7. Derivative Pricing Beyond Blaek-Scholes

7.1 Important Questions

7.2 An Integral Framework for Derivative Pricing

7.3 Application to Forward Contracts

7.4 Option Pricing (European Calls)

7.5 Monte Carlo Simulations

7.6 Option Pricing in a Tsallis World

7.7 Path Integrals: Integrating the Fat Tails into Option Pricing

7.8 Path Integrals: Integrating Path Dependence into Option Pricing

8. Microscopic Market Models

8.1 Important Questions

8.2 Are Markets Efficient?

8.3 Computer Simulation of Market Models

   8.3.1 Two Classical Examples

   8.3.2 Recent Models

8.4 The Minority Game

   8.4.1 The Basic Minority Game

   8.4.2 A Phase Transition in the Minority Game

   8.4.3 Relation to Financial Markets

   8.4.4 Spin Glasses and an Exact Solution

   8.4.5 Extensions of the Minority Game

9. Theory of Stock Exchange Crashes

9.1 Important Questions

9.2 Examples

9.3 Earthquakes and Material Failure

9.4 Stock Exchange Crashes

9.5 What Causes Crashes?

9.6 Are Crashes Rational?

9.7 What Happens After a Crash?

9.8 A Richter Scale for Financial Markets

10. Risk Management

10.1 Important Questions

10.2 What is Risk?

10.3 Measures of Risk

   10.3.1 Volatility

   10.3.2 Generalizations of Volatility and Moments

   10.3.3 Statistics of Extremal Events

   10.3.4 Value at Risk

   10.3.5 Coherent Measures of Risk

   10.3.6 Expected Shortfall

10.4 Types of Risk

   10.4.1 Market Risk

   10.4.2 Credit Risk

   10.4.3 Operational Risk

   10.4.4 Liquidity Risk

10.5 Risk Management

   10.5.1 Risk Management Requires a Strategy

   10.5.2 Limit Systems

   10.5.3 Hedging

   10.5.4 Portfolio Insurance

   10.5.5 Diversification

   10.5.6 Strategic Risk Management

11. Economic and Regulatory Capital for Financial Institutions

11.1 Important Questions

11.2 Economic Capital

   11.2.1 What Determines Economic Capital?

   11.2.2 How Calculate Economic Capital?

   11.2.3 How Allocate Economic Capital?

   11.2.4 Economic Capital as a Management Tool

11.3 The Regulatory Framework

   11.3.1 Why Banking Regulation?

   11.3.2 Risk-Based Capital Requirements

   11.3.3 Basel Ⅰ: Regulation of Credit Risk

   11.3.4 Internal Models

   11.3.5 Basel Ⅱ: The New International Capital Adequacy Framework

   11.3.6 Outlook: Basel Ⅲ and Basel Ⅳ

Appendix

Notes and References

Index