Risk Finance and Asset Pricing: Value, Measurements, and Markets

Index

Abacus

ABS. See Asset-backed securities (ABS)

Actuarial approach

Actuarial risk

Actuarial science

Actuarial techniques

Adverse selection risk

Agency problems

AICPA. See American Institute of Certified Public Accountants (AICPA)

AIG (American International Group)

Airbus

Air transport accidents

Alternative market structures

American Institute of Certified Public Accountants (AICPA)

American Law Institute

Analytic variance-covariance approach

Annuities and obligations (problem)

Antipersistent time series

A-parametric approach

APT. See Asset price theory (APT)

Arbitrage

Arbitrage CDO

Arbitrage CLO

Arbitrage-free price process

Arbitrage pricing theory

ARCH and GARCH estimators

AR (1)-ARCH (1) model (example)

A GARCH, (1,1) model (example)

Arrow, Kenneth

Arrow-Debreu framework

binomial option pricing (example)

generalization to multiple periods (example)

generalization to n states (example)

implied risk-neutral probability (problem)

options pricing (problem)

the price of a call option (example)

Arrow-Pratt index of risk aversion

Asian crisis of 1998,

Asian options (example)

Asset allocation:

asset pricing theory (APT)

efficiency frontier (problem)

Markowitz-based approach

two-securities portfolio (problem)

two-securities portfolio problem (example)

two-stock portfolio (example)

Asset-backed securities (ABS)

Asset price theory (APT)

Asset pricing:

Arrow-Debreu fundamental approach to

overview of

Assets:

multiple

pricing of

real and financial

Asymmetry

ATM. See At-the-money (ATM) ...