Index

4-moments CAPM

actual (ACT) number of days

AI see Alternative Investments

“algorithmic” trading

Alternative Investments (AI)

American options

bond options

CRR pricing model

option pricing

rho

amortizing swaps

analytic method, VaR

annual interest compounding

annualized volatility

autocorrelation

corrective factor

historical volatility

risk measures

APT see Arbitrage Pricing Theory

AR see autoregressive process

Arbitrage Pricing Theory (APT)

ARCH see autoregressive conditional heteroskedastic process

ARIMA see autoregressive integrated moving average process

ARMA see autoregression moving average process

ask price

asset allocation attribution

asset swaps

ATM see at the money

ATMF see at the money forward options

at the money (ATM)

convertible bonds

options

at the money forward (ATMF) options

attribution

asset allocation

performance

autoregression moving average (ARMA) process

autoregressive (AR) process

autoregressive conditional heteroskedastic (ARCH) process

autoregressive integrated moving average (ARIMA) process

backtesting

backwardation

basket CDSs

basket credit derivatives

basket options

BDT see Black, Derman, Toy process

benchmarks

Bermudan options

Bernardo Ledoit gain-loss ratio

BGM model see LIBOR market model

BHB model (Brinson’s)

bid price

binomial distribution

binomial models

binomial processes, credit derivatives

binomial trees

Black, Derman, Toy (BDT) process

Black and Karasinski model

Black–Scholes formula

basket options

beyond Black–Scholes

call-put parity ...

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