Market Risk Analysis Volume I: Quantitative Methods in Finance

List of Figures

I.1.1 A linear function

I.1.2 The quadratic function f(x)=4x² + 3x + 2

I.1.3 The reciprocal function

I.1.4 The inverse of a function

I.1.5 The exponential function

I.1.6 The natural logarithmic function

I.1.7 Definition of the first derivative

I.1.8 Two functions

I.1.9 The definite integral

I.1.10 The h-period log return is the sum of h consecutive one-period log returns

I.1.11 Graph of the function in Example I.1.8

I.2.1 A matrix is a linear transformation

I.2.2 A vector that is not an eigenvector

I.2.3 An eigenvector

I.2.4 Six European equity indices

I.2.5 The first principal component

I.3.1 Venn diagram

I.3.2 Density and distribution functions: (a) discrete random variable; (b) continuous variable

I.3.3 Building a histogram in Excel

I.3.4 The effect of cell width on the histogram shape

I.3.5 Two densities with the same expectation but different standard deviations

I.3.6 (a) A normal density and a leptokurtic density; (b) a positively skewed density

I.3.7 The 0.1 quantile of a continuous random variable

I.3.8 Some binomial density functions

I.3.9 A binomial tree for a stock price evolution

I.3.10 The standard uniform distribution

I.3.11 Two normal densities

I.3.12 Lognormal density associated with the standard normal distribution

I.3.13 A variance mixture of two normal densities

I.3.14 A skewed, leptokurtic normal mixture density

I.3.15 Comparison of Student t densities and standard normal

I.3.16 Comparison of Student t density and normal with same variance