Mathematics and Statistics for Financial Risk Management

Index

Abbreviations

Addition, matrix

Alpha, in finance

Alphabet, Greek

ARCH, Autoregressive conditional heteroscedasticitybw

Arithmetic Brownian motion

Autocorrelation

Autoregression

Autoregressive conditional heteroscedasticity (ARCH) model

Averages:

continuous random variables

discrete random variables

population and sample data

Back-testing

Bayes’ theorem

Bernoulli distribution

Best linear unbiased estimator (BLUE):

decay factor comparison

definition

Beta, of stock

Bimodal mixture distribution

Binary numbers

Binomial distribution. See also Distributions

Black-Karasinski model

Black Monday scenario

Black-Scholes equations

BLUE (best linear unbiased estimator):

comparison to decay factors

definition

Brownian motion

Cauchy distribution

CDF (cumulative distribution functions)

Central limit theorem

Central moments

CEV (constant elasticity of volatility) model

Chebyshev’s inequality

Chi-squared distribution

Cholesky decomposition

CIR (Cox-Ingersoll-Ross) model

Coefficient of determination

Coin flip examples

Cokurtosis

Combinatorics

Component distributions

Compounding

Computer simulations

Conditional probability

Confidence intervals

Confidence level, choosing

Constant elasticity of volatility (CEV) model

Continuously compounded returns

Continuous random variables:

cumulative distribution functions

definition

probability density functions

Continuous time series models

Coordinate vectors

Copulas

Correlation

Coskewness

Country exposures

Covariance

Cox-Ingersoll-Ross (CIR) model

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