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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