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Fixed Income Markets: Management, Trading and Hedging, 2nd Edition
book

Fixed Income Markets: Management, Trading and Hedging, 2nd Edition

by Moorad Choudhry, David Moskovic, Max Wong
September 2014
Beginner content levelBeginner
640 pages
22h 53m
English
Wiley
Content preview from Fixed Income Markets: Management, Trading and Hedging, 2nd Edition

APPENDIX B Basic Tools

In this appendix, we provide a very brief summary overview of some the main statistical tools that are mentioned in the text. There are no derivations or proofs but interested readers can access any number of text books on statistics and econometrics.

SUMMATION AND PRODUCT OPERATORS

Summation is indicated by the use of the Greek capital letter , pronounced sigma. Thus, we have

numbered Display Equation

The double summation operator is also used; thus

numbered Display Equation

The product operator is given by

numbered Display Equation

STANDARD BROWNIAN MOTION AND THE DYNAMICS OF THE ASSET-PRICE PROCESS

A normal random variable, also termed a Gaussian random variable, with mean 0 and variance l is defined by a probability density function of the form

(AB.1) numbered Display Equation

where

numbered Display Equation

A normally distributed variable x with mean 0 and variance 1 is denoted by xN(0,1). Given two real numbers a and b, then a + bx would be normally distributed ...

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Publisher Resources

ISBN: 9781118171752Purchase book