Applied Probabilistic Calculus for Financial Engineering

Index

a

• ABET. See Accreditation Board for Engineering and Technology (ABET)
• abline(coef(fm))
• Accreditation Board for Engineering and Technology (ABET)
• actively managed funds
• addTA
• adjustable rate mortgage (ARM)
• affine transformation
• algorithmic trading
• annuity allocation
• Annuity 2000 Basic Table
• applied probabilistic calculus (APC)
• arfirma
• ARIMA model
  • Arima-1
  • Arima-2
  • Arima-3
• arithmetic Brownian motion
  • GBM returns
  • simulators
• asset class assumptions modeling
• asset investment, pie chart
• asset location
  • definition
  • and withdrawal sourcing
• asset price
• assets allocation
  • approaches
  • final remarks on
  • γ factors
    • annuity allocation
    • asset location and withdrawal sourcing
    • dynamic withdrawal strategy
    • liability-relative optimization
    • measurement
    • total wealth asset allocation
  • mortality model
  • process
    • using Black–Litterman model
  • sensitivity analysis
    • elasticity of intertemporal substitution (EOIS)
  • for set of investment data
  • by using R
    • Black–Litterman (B–L) asset allocation model
    • from CRAN
  • worked examples
• automated coding systems
• average value at risk (AVaR)

b

• Bayes’ law
  • derivation using
• bconfint
• bivariate data analysis
  • available R packages for
• bivariate normal distribution
• Black–Litterman and Copula Opinion Pooling Frameworks
• Black–Litterman model (BL)
  • active management
  • asset allocation model
    • Braga and Natale and tracking error volatility (TEV)
    • calibrated results
    • confidence levels
    • extensions to the Black–Litterman model
    • Fusai and Meucci’s measure of consistency ...