Rosario N. Mantegna（R.N.蒙塔納，意大利）國際知名學者，在金融學界享有盛譽。本書凝聚了作者多年科研和教學成果，適用于科研工作者、高校教師和研究生。
圖書目錄
Preface 1 Introduction 1．1 Motivation 1．2 Pioneering approaches 1．3 The chaos approach 1．4 The present focus 2 Efficient market hypothesis 2．1 Concepts， paradigms， and variables 2．2 Arbitrage 2．3 Efficient market hypothesis 2．4 Algorithmic complexity theory 2．5 Amount ofinformation in a financial time series 2．6 Idealized systems in physics and finance 3 Random walk 3．1 One-dimensional discrete case 3．2 The continuous limit 3．3 Central limit theorem 3．4 The speed of convergence 3．4．1 Berry-Esseen Theorem 1 3．4．2 Berry-Esseen Theorem 2 3．5 Basin of attraction 4 Levy stochastic processes and limit theorems 4．1 Stable distributions 4．2 Scaling and self-similarity 4．3 Limit theorem for stable distributions 4．4 Power-law distributions 4．4．1 The St Petersburg paradox 4．4．2 Power laws in finite systems 4．5 Price change statistics 4．6 Infinitely divisible random processes 4．6．1 Stable processes 4．6．2 Poisson process 4．6．3 Gamma distributed random variables 4．6．4 Uniformly distributed random variables 4．7 Summary 5 Scales in financial data 5．1 Price scales in financial markets 5．2 Time scales in financial markets 5．3 Summary 6 Stationarity and time correlation 6．1 Stationary stochastic processes 6．2 Correlation 6．3 Short-range correlated random processes 6．4 Long-range correlated random processes 6．5 Short-range compared with long-range correlated noise 7 Time correlation in financial time series 7．1 Autocorrelation function and spectral density 7．2 Higher-order correlations： The volatility 7．3 Stationarity of price changes 7．4 Summary 8 Stochastic models of price dynamics 8．1 Levy stable non-Gaussian model 8．2 Student's t-distribution 8．3 Mixture of Gaussian distributions 8．4 Truncated Levy fiight 9 Scaling and its breakdown 9．1 Empirical analysis of the S&P 500 index 9．2 Comparison with the TLF distribution 9．3 Statistical properties of rare events 10 ARCH and GARCH processes 10．1 ARCH processes 10．2 GARCH processes 10．3 Statistical properties of ARCH／GARCH processes 10．4 The GARCH（1，1） and empirical observatins 10．5 Summary 11 Financial markets and turbulence 11．1 Turbulence 11．2 Parallel analysis of price dynamics and fiuld velocity 11．3 Scaling in turbulence and in financial markets 11．4 Discussion 12 Correlation and anticorrelation between stocks 12．1 Simultaneous dynamics of pairs of stocks 12．1．1 Dow-Jones Industrial Average portfolio 12．1．2 S&P 500 portfolio 12．2 Statistical properties of correlation matrices 12．3 Discussion 13 Taxonomy of a stock portfolio 13．1 Distance between stocks 13．2 Ultrametric spaces 13．3 Subdominant ultrametric space of a portfolio of stocks 13．4 Summary 14 Options in idealized markets 14．1 Forward contracts 14．2 Futures 14．3 Options 14．4 Speculating and hedging 14．4．1 Speculation： An example 14．4．2 Hedging： A form ofinsurance 14．4．3 Hedging： The concept of a riskless portfolio 14．5 Option pricing in idealized markets 14．6 The Black & Scholes formula 14．7 The complex structure of financial markets 14．8 Another option-pricing approach 14．9 Discussion 15 Options in real markets 15．1 Discontinuous stock returns 15．2 Volatility in real markets 15．2．1 Historical volatility 15．2．2 Implied volatility 15．3 Hedging in real markets 15．4 Extension of the Black & Scholes model 15．5 Summary Appendix A： Notation guide Appendix B： Martingales References Index
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