Market Risk Analysis Volume I: Quantitative Methods in Finance

Index

Abnormal return, CAPM 253

Absolute return 58

Absolute risk tolerance 231

Absolute value function 6

Active return 92, 256

Active risk 256

Alternative hypothesis 124, 151

American option 1, 215–16

Amex case study 144–6, 153–5

Amex Oil index 162–3, 169–70, 174

Analysis of variance (ANOVA)

Amex case study 154

BHP Billiton Ltd case study 164–5

matrix notation 159–60

regression 143–4, 149–50

Analytic solution 185

Anderson–Darling test 128–9

ANOVA (analysis of variance)

Amex case study 154

BHP Billiton Ltd case study 164–5

matrix notation 159–60

regression 143–4, 149–50

Appraisal ratio 257

Approximate confidence interval 122

Approximations

delta–gamma 2, 34

delta–gamma–vega 34

duration–convexity 2–3, 34

finite difference 206–10, 223

Arbitrage

no arbitrage 2, 179–80, 211–13

pricing theory 257

statistical strategy 182–3

Arithmetic Brownian motion 22, 136, 138–9

Arrival rate, Poisson distribution 87–9

Ask price 2

Asset management, global 225

Asset prices

binomial theorem 85–7

lognormal distribution 213–14

pricing theory 179–80, 250–55

regression 179–80

stochastic process 137–8

Assets, tradable 1

Asymptotic mean integrated square error 107

Asymptotic properties of OLS estimators 156

Autocorrelation 175–9, 184, 259–62

Autocorrelation adjusted Sharpe ratio 259–62

Autoregression 135

Auxiliary regression 177

Backtesting 183

Backward difference operator 19

Bandwidth, kernel 106–7

Bank 225

Barra model 181

Basic calculus 1–36

Basis splines 200

Bayesian probability 72–3

Bermudan option 1