Mathematics of the Financial Markets: Financial Instruments and Derivatives Modelling, Valuation and Risk Issues

Main Notations

B	bond price
c	coupon rate of a bond
C	convexity, or call price, in function of the context
cov(.)	covariance of (.)
d	dividend paid by a stock
D	duration
Dt	discount factor relative to time t
E(.)	expected value of (.)
F	forward price, or future price (depends on the context)
FV	future value
-ibor	generic for LIBOR, EURIBOR, or any other inter-bank market rate
K	strike price of an option
κ	kurtosis
M	month or million, depending on context
MD	modified duration
MtM	“Marked to Market” (= valued to the observed current market price)
μ	drift of a stochastic process
N	total number of a series (integer number), or nominal (notional) amount (depends on the context)
(.)	Gaussian (normal) density distribution function
N(.)	Gaussian (normal) cumulative distribution function
P	put price
P{.}	probability of {.}
PV	present value
(.)	Poisson density distribution function
r	generic symbol for a rate of return
rf	risk-free return
ρ(.)	correlation of (.)
skew	skewness
S	spot price of an asset (equity, currency, etc.), as specified by the context
STD(.)	standard deviation of (.)
σ	volatility of a stochastic process
t	current time, or time in general (depends on the context)
t0	initial time
T	maturity time
τ	tenor, ...