Derivatives Models on Models

Index

Aase, K.K. 54, 230, 231–8, 239–44

ABN AMRO 349

abstract notions, reification traps 4

academics

citations 14

critique 7–11, 13, 258–9

stolen ideas 110

traders 10, 27–8, 33–4, 58–9, 61, 101, 109, 110, 126–7, 154–5, 197, 258–9, 278, 322, 341, 354

Wall Street 10

accelerated frames 297–9, 309–10

actuaries 232–3, 237

Adamchuk, Alexander (Sasha) 224

aggregate risk 231–4

alternatives, delta hedging 33–61

American options 39, 60, 80, 81–93, 115–18, 130, 192–3, 324–7

barrier options 115–18, 130

simulations 192–3

Analytic Investment Management 67

Anderson, Carl 223–16

anthropic bias 10

antimatter mirrors, quantitative finance 223–7, 239–43, 299

APSV (Arbitrage Pricing with Stochastic Volatility) 170

APT see Arbitrage Pricing Theory

arbitrage 5, 28–9, 35–6, 44, 56–60, 79–82, 153–6, 170, 198, 200, 267–74, 278–9, 294–5, 325, 337

see also dynamic delta hedging

dividends 81–2

empirical observations 154

frozen time 271–4

gravitational arbitrage 270–1

time travel 267–74

Arbitrage Pricing with Stochastic Volatility (APSV) 170

Arbitrage Pricing Theory (APT) 44, 153–6, 170, 198

CAPM 153–4, 155

concepts 153–6

driving factors 154

Arrow-Debreu securities 233, 351

art/science contrasts 5, 9

artificial intelligence (AI) 168

Asian options 72, 177–87

arithmetic discrete averages 184–6

concepts 177–87

the dollars 185–6

geometric average volatilities 179–86

global/local spot volatilities 183–6

pyramid formula 179–84

quiz 177–80

volatilities 177–87

asset allocations, fat tails 193

asset frames, space-time ...