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Finance, Economics, and Mathematics by Robert C. Merton, Oldrich A. Vasicek

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Index

  1. abnormal return (alpha), in CAPM
  2. administrative fees
  3. alpha effect
  4. arbitrage
    1. and equilibrium economies
    2. and futures prices
    3. riskless
  5. asset allocation, dynamic
  6. asset pricing
    1. and corporate equity
    2. for derivatives
    3. and equilibrium models
    4. in risk-neutral economies
  7. assets
    1. in best-return strategy
    2. book value of
    3. hierarchy of claims on
    4. liquidity of
    5. and loan default
    6. market value of
    7. riskless (in CAPM)
    8. under separation theorem
    9. target
    10. See also specific types
  8.  
  9. Bank of America
  10. bankruptcies
    1. and credit valuation
    2. probability of
    3. recoveries in
    4. and stockholders' interests
    5. and term of debt
  11. banks
    1. CAPM used by
    2. loss reporting by
    3. portfolio diversification for
    4. and risk measurement
  12. barbell portfolios
    1. and immunization strategy
    2. relative performance of
  13. Basel Accords
  14. Bayesian decision theory
  15. benchmark maturities
  16. best-return strategy
    1. costs of
    2. function of
    3. implementation of
  17. beta
    1. for bond portfolio
    2. in CAPM
    3. for securities
  18. bivariate normal distribution function
  19. Black, Derman, Toy model
  20. Black, Fisher
  21. Black-Scholes option pricing model
  22. bond portfolios
    1. analyzing returns on
    2. and forward rate
    3. immunization strategy for
    4. performance measurement for
    5. timing of changes in
  23. bond pricing
    1. calculating
    2. and call price
    3. case study
    4. and catastrophic events
    5. and credit valuation
    6. and discount function
    7. equation for
    8. in equilibrium models
    9. evolution of
    10. and immunized portfolios
    11. and interest rate volatility
    12. and portfolio performance measurement
    13. in production economy in equilibrium
    14. in risk-neutral economies
    15. and short ...

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