The Statistical Mechanics of Financial Markets (Texts and Monographs in Physics)

Rating:
Summary: Very useful bridge between physics methodologies and finance
Review: Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.

Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.

The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.

Nassim Nicholas Taleb