Encyclopedia of Quantitative Finance, IV Volume Set

Abbreviations and Acronyms

ABCP	Asset-backed Commercial Paper
ABS	Asset-backed Security
ACD	Autoregressive Conditional Duration
ACF	Autocorrelation Function
ACVF	Autocovariance Function
ADI	Alternating Direction Implicit
ADR	American Depository Receipt
AF	Arbitrage-free
A-IRB	Advanced Internal Rating Based Approach
ALM	Asset–Liability Management
AMA	Advanced Measurement Approach
AMEX	American Stock Exchange
AMM	Adaptive Mesh Model
APR	Absolute Priority Rule
APT	Arbitrage Pricing Theory
AR	Accuracy Ratio
ARCH	Autoregressive Conditional Heteroskedasticity
ARMA	Autoregressive Moving Average
a.s.	Almost Surely
ASRF	Asymptotic Single Risk Factor
AT	Algorithmic Trading
ATM	At the Money
ATMF	At-the-money-forward
ATSM	Affine Term Structure Model
AV@R	Average Value at Risk
AZN	Astrazeneca
BBA	British Bankers’ Association
BBS	Binomial Black–Scholes
BBSR	Binomial Black–Scholes–Richardson
BCG	Biconjugate Gradient
BDLP	Background Driving Lévy Process
BESQ	Squared Bessel
BET	Binomial Expansion Technique
BGM	Brace–Gatarek–Musiela
BHHH	Berndt–Hall–Hall–Hausman
BIA	Basic Indicator Approach
BIC	Bayesian Information Criterion
BI(R)	Binomial Interpolated (with Richardson Extrapolation)
BIS	Bank for International Settlements
BL	Black and Litterman
BL	Business Lines
BNS	Barndorff–Neilsen and Shephard
BRL	Brazilian Real
BS	Black–Scholes
BS	Bühlmann–Straub
BSDE	Backward Stochastic Differential Equation ...