Index

Bold-faced page numbers indicate definitions.

A-adapted vector, 161

A-measurable vector, 161

∈-regret function, 124

a.s., see almost surely

ABS, see asset-backed securities

absolute deviation constraints, 119

absorbing state, 373

accuracy of scenarios, 228

active constraints, 366

actuarial risk, 35

adaptive models, 159161

adjusted random sampling, see sampling

almost surely, 369

amortization, 151

anticipative models, 160

APT, see Arbitrage Pricing Theory

arbitrage, 136, 244247, 245

first-order, 137

second-order, 137

Arbitrage Pricing Theory (APT), 91

Arrow-Dubreu securities, 136

ask price, xxvi

asset allocation

strategic, 183, 185

tactical, 183, 186

asset and liability management, 18

asset valuation, 136

in complete markets, 138139

in dynamically complete markets, 139140

in incomplete markets, 140142

scenarios for, 232

utility invariant, 142

asset-backed securities (ABS), 210211

Bank for International Settlement, 18

benchmark neutral probabilities, 133

with finite liquidity, 135

with infinite liquidity, 133

beta, 37

bi-linear utility function, 66

bid price, xxvi

binomial lattice, 148

BIS, see Bank for International Settlement

bond picking, 186

bonus, 299

modeling, 303

reversionary, 310

terminal, 310

bootstrapping, 234

the yield curve, 101

borrowing, 79, 98

Brownian motion, 373

budget constraint, 116

business risk, 35

buy-and-hold, 152

callable bonds, 207

design of, 220

index of, 202

lockout period, 220

redemption prices, 208, 220

cap weighting, see index

Capital Asset ...

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