Marc Potters is Chief Investment Officer of CFM, an investment firm based in Paris. Marc maintains strong links with academia and as an expert in Random Matrix Theory, he has taught at UCLA and Sorbonne University. He is co-author of Theory of Financial Risk and Derivative Pricing (Cambridge 2003). Jean-Philippe Bouchaud is a pioneer in Econophysics. His research includes random matrix theory, statistics of price formation, stock market fluctuations, and agent-based models for financial markets and macroeconomics. His previous books include Theory of Financial Risk and Derivative Pricing (Cambridge, 2003) and Trades, Quotes & Prices (Cambridge, 2018), and he has been the recipient of several prestigious, international awards.

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• Preface; Part I. Classical Random Matrix Theory: 1. Deterministic Matrices; 2. Wigner Ensemble and Semi-circle Law; 3. More on Gaussian Matrices; 4. Wishart Ensemble and Marcenko-Pastur Distribution; 5. Joint Distribution of Eigenvalues; 7. The Jacobi Ensemble; Part II. Sums and Products of Random Matrices: 8. Addition of Random Variables and Brownian Motion; 9. Dyson Brownian Motion; 10. Addition of Large Random Matrices; 11. Free Probabilities; 12. Free Random Matrices; 13. The Replica Method; 14. Edge Eigenvalues and Outliers; Part III. Applications: 15. Addition and Multiplication: Recipes and Examples; 16. Products of Many Random Matrices; 17. Sample Covariance Matrices; 18. Bayesian Estimation; 19. Eigenvector Overlaps and Rotationally Invariant Estimators; 20. Applications to Finance; Appendix A. Appendices: Mathematical Tools; List of Symbols; Index.

Marc Potters is Chief Investment Officer of CFM, an investment firm based in Paris. Marc maintains strong links with academia and as an expert in Random Matrix Theory, he has taught at UCLA and Sorbonne University. He is co-author of Theory of Financial Risk and Derivative Pricing (Cambridge 2003). Jean-Philippe Bouchaud is a pioneer in Econophysics. His research includes random matrix theory, statistics of price formation, stock market fluctuations, and agent-based models for financial markets and macroeconomics. His previous books include Theory of Financial Risk and Derivative Pricing (Cambridge, 2003) and Trades, Quotes & Prices (Cambridge, 2018), and he has been the recipient of several prestigious, international awards.

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• Preface; Part I. Classical Random Matrix Theory: 1. Deterministic Matrices; 2. Wigner Ensemble and Semi-circle Law; 3. More on Gaussian Matrices; 4. Wishart Ensemble and Marcenko-Pastur Distribution; 5. Joint Distribution of Eigenvalues; 7. The Jacobi Ensemble; Part II. Sums and Products of Random Matrices: 8. Addition of Random Variables and Brownian Motion; 9. Dyson Brownian Motion; 10. Addition of Large Random Matrices; 11. Free Probabilities; 12. Free Random Matrices; 13. The Replica Method; 14. Edge Eigenvalues and Outliers; Part III. Applications: 15. Addition and Multiplication: Recipes and Examples; 16. Products of Many Random Matrices; 17. Sample Covariance Matrices; 18. Bayesian Estimation; 19. Eigenvector Overlaps and Rotationally Invariant Estimators; 20. Applications to Finance; Appendix A. Appendices: Mathematical Tools; List of Symbols; Index.

Marc Potters is Chief Investment Officer of CFM, an investment firm based in Paris. Marc maintains strong links with academia and as an expert in Random Matrix Theory, he has taught at UCLA and Sorbonne University. He is co-author of Theory of Financial Risk and Derivative Pricing (Cambridge 2003). Jean-Philippe Bouchaud is a pioneer in Econophysics. His research includes random matrix theory, statistics of price formation, stock market fluctuations, and agent-based models for financial markets and macroeconomics. His previous books include Theory of Financial Risk and Derivative Pricing (Cambridge, 2003) and Trades, Quotes & Prices (Cambridge, 2018), and he has been the recipient of several prestigious, international awards.

Select Guide Rating

• Preface; Part I. Classical Random Matrix Theory: 1. Deterministic Matrices; 2. Wigner Ensemble and Semi-circle Law; 3. More on Gaussian Matrices; 4. Wishart Ensemble and Marcenko-Pastur Distribution; 5. Joint Distribution of Eigenvalues; 7. The Jacobi Ensemble; Part II. Sums and Products of Random Matrices: 8. Addition of Random Variables and Brownian Motion; 9. Dyson Brownian Motion; 10. Addition of Large Random Matrices; 11. Free Probabilities; 12. Free Random Matrices; 13. The Replica Method; 14. Edge Eigenvalues and Outliers; Part III. Applications: 15. Addition and Multiplication: Recipes and Examples; 16. Products of Many Random Matrices; 17. Sample Covariance Matrices; 18. Bayesian Estimation; 19. Eigenvector Overlaps and Rotationally Invariant Estimators; 20. Applications to Finance; Appendix A. Appendices: Mathematical Tools; List of Symbols; Index.