Quantitative Finance for Physicists: An Introduction (Academic Press Advanced Finance) (Hardcover)

~ (Author) "This book is written for those physicists who want to work on Wall Street but have not bothered to read anything about Finance..." (more)
Key Phrases: binomial cascade, coherent risk measure, arbitrage trading strategies (more...)

Editorial Reviews

Review

". Schmidt's book is the most pedagogical among the few good econophysics books to have appeared in the last years. I am going to use it whenever teaching econophysics to young researchers... A very positive contribution, giving the new generation of scientists a balanced, interdisciplinary, yet soundly professional background in this fascinating and promising field." - Sorin Solomon, Professor at the Racah Institute of Physics, Hebrew University of Jerusalem and Director of the Multi-Agent Systems Division at the Institute for Scientific Interchange, Torino ".What amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly. I will recommend this book to my own financial economics students as an up-to-date, quick reference companion to classes and the lab." - Sergio Da Silva, Department of Economics, Federal University of Santa Catarina, Brazil

Review

". Schmidt's book is the most pedagogical among the few good econophysics books to have appeared in the last years. I am going to use it whenever teaching econophysics to young researchers.... A very positive contribution, giving the new generation of scientists a balanced, interdisciplinary, yet soundly professional background in this fascinating and promising field."
- Sorin Solomon, Professor at the Racah Institute of Physics, Hebrew University of Jerusalem and Director of the Multi-Agent Systems Division at the Institute for Scientific Interchange, Torino

".What amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly. I will recommend this book to my own financial economics students as an up-to-date, quick reference companion to classes and the lab."
- Sergio Da Silva, Department of Economics, Federal University of Santa Catarina, Brazil

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Product Details

• Hardcover: 184 pages
• Publisher: Academic Press (December 28, 2004)
• Language: English
• ISBN-10: 012088464X
• ISBN-13: 978-0120884643
• Product Dimensions: 9 x 6.1 x 0.7 inches
• Shipping Weight: 14.9 ounces (View shipping rates and policies)
• Average Customer Review: 3.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon.com Sales Rank: #1,351,720 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

4 of 4 people found the following review helpful:

3.0 out of 5 stars needs revisions, February 20, 2007

By	Scott C. Locklin "Selectos nisi das mihi libe... (Berkeley CA) - See all my reviews (REAL NAME)

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I'm also a physicist and larval quantitative finance geek. I bought this book upon my last round of job hunting. This book is pretty obviously the "crib notes" that Dr. Schmidt took in preparing himself for Wall Street interviews, and, IMO, it is a pretty good example of this. I myself have a very similar volume, though I did not have the foresight to do it all in LaTeX as he probably did; I stuck mine in a little moleskine notebook as I was reading other books. I encourage anyone looking for a job outside their original field to construct their own version of such a notebook. This is particularly useful in learning the basics of a complicated field like quantitative finance.

I did not find it a particularly valuable pedagogical tool. There are many useful chapters, and knowing everything in them would be very useful (and impressive) on a job interview. But the chapters were too sparse, and the problem sets too narrow to actually learn from. You can read the words and get the basic idea, but, there isn't enough in the way of examples and "meaty dialog" to really absorb the information. One will need supplimental texts on virtually every useful chapter to actually cover the material presented. Of course, if you already know it, this book is a convenient and useful reference to thumb through to refresh your memory. Also, some things which I at least consider important are not emphasized as much as some things which I consider trivia. One of the difficulties with studying this stuff is knowing what is important.

I also disagree with some of his chapters being included at all. Agent based models seem unlikely to come up in an interview, unless you're interviewing for a very innovative and cutting edge position. In the latter case, the chances are pretty good that you already are very conversant in agent-based models and some kind of statistical physics, and you don't need his introduction. I suppose it might make a good talking point to have seen the idea somewhere, even in a brief explanation. The same applies for the section on chaos theory. Maybe someone out there has some models which touch on the physics of chaos. Will his chapter help you to get such a job? No, it will not. "Chaos theory" (and nonlinear dynamics, as the chapter is called) is a vast subject, and he barely defines it here, let alone shows how it might be useful in quantitative finance. What might have been interesting is a treatment of how chaotic models might be modeled in the ARIMA or GARCH time series frameworks he introduces in previous chapters. Finally, he included a chapter on Fractals which is probably even more useless than the chapters on chaos and agent models.

That said, it is a valuable slim reference. It would be more valuable if it included commentary on the subjects I mentioned and/or more and deeper problem sets. I suppose it could go in a more pedagogical direction, or more of a reference book direction in future editions. I look forward to reading them, and using them to keep my own personal version of "the physicist's compleat notebook on finance" up to date.

7 of 9 people found the following review helpful:

5.0 out of 5 stars Nicely Crafted Econophysics, January 19, 2005

By	Sergio Da Silva (Brasilia, Brazil) - See all my reviews

WHAT amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly.
I will recommend this book to my own financial economics students as an up-to-date, quick-reference companion to classes and the lab.

The author holds a PhD in Physics, as one might presume. And he needed a manual like this one when he first got a job of financial data analyst. So he later on decided to write a book primarily intended to reach the audience of "physicists who want to work on Wall Street yet have not bothered to read anything about finance". Yet I think the book should be of interest to the financial community at large, academics and practitioners. Great stuff.

1 of 1 people found the following review helpful:

5.0 out of 5 stars useful reference, March 11, 2006

By	Joseph Malinsky "book lower" (New Jersey) - See all my reviews (REAL NAME)

This is a good introduction for a Science major who is willing to grasp the basic concepts in Econophysics and Mathematical Finance. This concise book can prepare a reader to the MBA-level text-books on finance. Two chapters, on scaling in finance and agent-based modeling, are of particular interest being the balanced reviews of recent research dispersed in periodic literature. This material describes the dynamic and exciting field of Econophysics where the most important results may be yet waiting to be found. I recommend this books to my students and they, too, find it very useful.
Joseph Malinsky, Professor of Physics, Graduate Center CUNY