Financial Mathematics

Glossary of Symbols and Abbreviations

$a_{\overline{n\hspace{.2em}|}}$j	discount factor for n payments and rate j
B(t) or Bt	value of a risk-free security (e.g. a bond or a bank account) at time t
b(x; n, p)	probability mass function for the binomial law Bin(n, p)
ℬ(x; n, p)	(cumulative) probability distribution function for the binomial law Bin(n, p)
Bin(n, p)	binomial probability distribution with number of trials n and success probability p
CA	American call
CE	European call
CDF	cumulative (probability) distribution function
Corr(X, Y)	correlation coefficient of X and Y
Cov(X, Y)	covariance of X and Y
CRR	Cox–Ross–Rubinstein
D	downward move in a binomial tree
div	dividend
D(t, T)	discount factor from time t to time T
D(t) ≡ D(0, t