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
adjusted random sampling, see sampling
almost surely, 369
amortization, 151
anticipative models, 160
APT, see Arbitrage Pricing Theory
first-order, 137
second-order, 137
Arbitrage Pricing Theory (APT), 91
Arrow-Dubreu securities, 136
ask price, xxvi
asset allocation
asset and liability management, 18
asset valuation, 136
in dynamically complete markets, 139–140
in incomplete markets, 140–142
scenarios for, 232
utility invariant, 142
asset-backed securities (ABS), 210–211
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
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
cap weighting, see index
Capital Asset ...
Get Practical Financial Optimization: Decision Making for Financial Engineers now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
