A Guided Walk Down Wall Street: an Introduction to Econophysics

TL;DR

This paper introduces econophysics concepts, focusing on financial derivatives pricing and recent physicist contributions to financial problems, based on lecture notes from a 2004 course.

Contribution

It provides an accessible introduction to econophysics and reviews physicists' recent contributions to financial derivative pricing and related issues.

Findings

Overview of continuous-time derivative pricing

Review of physicist contributions to financial problems

Educational resource for econophysics concepts

Abstract

This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financial derivatives in continuous time; and ii) to review some of the related problems to which physicists have made relevant contributions in recent years.