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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