Risk Neutral Pricing and Financial Mathematics: A Primer

Index

Note: Page numbers followed by “f” and “t” refer to figures and tables, respectively.

A

σ-algebra, 35–36, 36, 123–124, 125

Alternative interest rate processes, 265–270

bond pricing and yield curve with CIR, 267–269

Cox–Ingersoll–Ross model (CIR), 266–267

Merton model, 265–266

yield curve modeling, 269–270

American calls, modeling, 230–231

Annuities

continuous, 107–109

growing, 69–71, 71, 109

and perpetuities, 70–71

Antidifferentiation, 22

Arbitrage, 2

and no arbitrage, 75–78, 84–86

no-arbitrage bond markets, 75–76

pricing bonds, 76–77

pricing kernel, 78, 85–86

Arbitrage portfolio, creating, 79–80

Arbitrage pricing, 165

Arithmetic Brownian motion, 153–154, 155

interest rates and, 248

Arithmetic return over time, 201

Arrow–Debreu (pure) security ...