Scope of the book

Finance is a rapidly expanding field of science, with a rather unique link to applications. Correspondingly, recent years have witnessed the growing role of financial engineering in market rooms. The possibility of easily accessing and processing huge quantities of data on financial markets opens the path to new methodologies, where systematic comparison between theories and real data not only becomes possible, but mandatory. This perspective has spurred the interest of the statistical physics community, with the hope that methods and ideas developed in the past decades to deal with complex systems could also be relevant in finance. Many holders of PhDs in physics are now taking jobs in banks or other financial institutions.

The existing literature roughly falls into two categories: either rather abstract books from the mathematical finance community, which are very difficult for people trained in natural sciences to read, or more professional books, where the scientific level is often quite poor. Moreover, even in excellent books on the subject, such as the one by J. C. Hull, the point of view on derivatives is the traditional one of Black and Scholes, where the whole pricing methodology is based on the construction of riskless strategies.