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Encyclopedia of Financial Models II by Frank J. Fabozzi

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Index

Absence of arbitrage principle, I:, I:. See also arbitrage, absence of

ABS/MBS (asset-backed securities/mortgage-backed securities), I:, I:

cash flow of, III:

comparisons to Treasury securities, III:

modeling for, III:

Accounting, II:, II:

Accounting firms, watchdog function of, II:

Accounts receivable turnover ratio, II:

Active-passive decomposition model, III:, III:, III:

Activity ratios, II:, II:

Adapted mesh, one year to maturity, II:

Adjustable rate mortgages (ARMs). See ARMs (adjustable rate mortgages)

Adjustments for changes in net working capital (ANWC), II:

Adverse selection, III:

Affine models, III:

Affine process, basic, I:, I:

Agency ratings, and model risk, II:

Airline stocks, II:, II:, II:, II:

Akaike Information Criterion (AIC), II:, II:

Algorithmic trading, II:

Algorithms, II:, II:, III:

Allied Products Corp., cash flow of, II:

α-stable densities, III:, III:

α-stable distributions

defined, II:

discussion of, III:

fitting techniques for, II:

properties of, II:

simulations for, II:

subordinated representation of, II:

usefulness of, III:

and VaR, II:

variables with, II:

α-stable process, III:

Alternative risk measures

proposed, III:

Amazon.com

cash flows of, II:, II:

American International Group (AIG), stock prices of, III:

Amortization, II:, III:

Analysis

and Barra model, II:

bias in, II:

common-size, II:

crisis-scenario, III:

to determine integration, II:

formulas for quality, II:

fundamental, II:, II:, II:

interpretation of results, III:

mathematical, I: ...

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