Index
- t-distribution
- a
- absolute pricing
- absolute shortfall
- accrued interest
- adjusted closing price
- alpha
- American contingent claim
- American option
- annualized mean
- annualized volatility
- arbitrage
- arbitrage opportunity
- arbitrage-free price
- Archimedean copula
- Arrow-Debreu security
- Asian option
- Asian options
- ask price
- atom
- attainable European contingentclaim
- autocorrelation
- autocovariance
- b
- backtesting
- backwardation
- bank account
- barrier option
- basis point
- basket default swap
- Bermudan contingent claim
- Bermudan option
- beta
- bid price
- Black's formula
- Black–Scholes differential equation
- Black–Scholes model
- Black–Scholes price
- Box–Ljung test
- Brownian motion
- c
- call option
- cap
- CAP model
- capital asset pricing
- capital guarantee
- caplet
- CARA utility function
- cash account
- Cauchy distribution
- causal ARMA process
- certainty equivalent
- characteristic function
- Clayton copula
- clean price
- coherent risk measure
- colinearity
- collateralized debt obligation
- common stock
- comonotonic
- complete market model
- conditional alpha
- conditional density
- conditional heteroscedasticity model
- conditional heteroskedasticity
- constant weight portfolio
- contango
- continuous compounding
- continuous zero rate
- convex risk measure
- copula
- copula, nonstandard
- countermonotonic
- coupon bond
- covariance matrix
- covariance stationarity
- covered call
- covered short
- covered shorting
- credit default swap
- credit risk
- CRRA utility function
- currency forward
- d
- default spread
- delta
- dependence
- derivative
- diffusion process
- discount curve
- discount factor
- discount rate
- discount ratio
- dividend price ratio
- dividend yield
- DJIA
- Doob decomposition
- down-and-out-call
- drawdown
- Durbin–Levinson algorithm
- e
- earnings yield
- elliptical copula
- elliptical distribution
- empirical distribution function
- equivalent martingale measure
- Esscher transformation
- Euribor
- European contingent claim
- excess distribution
- exchange traded fund
- exercise strategy
- exotic option
- expected shortfall
- exponential distribution
- f
- Fama-French model
- fixed leg
- float market capitalization
- floating leg
- floor
- floorlet
- forward
- forward rate
- forward rate agreement
- forward zero-coupon bond
- Frank copula
- futures contract
- g
- gains process
- gamma
- gamma distribution
- GARCH market model
- Garman-Kohlhagen model
- Gaussian copula
- Gaussian model
- Gaussian time series
- generalized inverse
- geometric mean
- geometric random walk
- Girsanov's theorem
- government rate
- greeks
- gross returns
- Gumbel copula
- Gumbel–Hougaard copula
- h
- Heston–Nandi model
- Hill's estimator
- Hill's plot
- i
- i.i.d. process
- independence
- infinitely divisible distribution
- innovations algorithm
- interbank rate
- interest rate cap
- interest rate floor
- invertible ARMA process
- Itô's lemma
- j
- Jensen's alpha
- k
- Kendall's rank correlation
- Kendall's tau
- knock-in option
- knock-out option
- Kullback–Leibler distance
- l
- Lévy–Smirnov distribution
- Lagrange function
- law of large numbers
- law of one price
- leverage effect
- Libor
- limit order
- linear correlation
- liquidity risk
- Ljung–Box test
- location-scale model
- log-normal distribution
- log-normal model
- logarithmic returns
- lower partial moment
- m
- market capitalization
- market index
- market order
- market risk
- market timing
- Markowitz criterion
- martingale
- martingale difference
- martingale measure
- martingale transformation
- maximum likelihood
- median
- minimum variance portfolio
- mode
- money market account
- moneyness
- monotonicity theorem
- MSPE
- multiasset options
- multidimensional scaling
- mutual fund
- n
- naked short selling
- Nasdaq-
- Nelson–Siegel family
- net returns
- news impact curve
- normal distribution
- normal variance mixture
- numéraire
- o
- Omega ratio
- operational risk
- OTC
- outperformance option
- over-the-counter
- p
- par yield
- Pareto distribution
- Pareto tail
- partial moment
- payer swap
- payer swaption
- predictable
- preferred stock
- price earnings ratio
- price index
- product copula
- protective put
- pure discount bond
- put option
- put–call parity
- r
- random walk
- rank
- real yield
- receiver swap
- receiver swaption
- regularly varying function
- relative entropy
- relative pricing
- return level
- risk-neutral measure
- s
- S&P
- Sammon's mapping
- sample linear correlation
- sample median
- scatter plot
- second-order stationarity
- self-financing
- semivariance
- Sharpe ratio
- slowly varying function
- smile
- smoothing spline method
- Spearman's rank correlation
- Spearman's rho
- spherical distribution
- spot price
- St. Petersburg paradox
- stable distribution
- stationarity
- statistical arbitrage
- stochastic dominance
- stochastic integral
- stochastic process
- stochastic trend
- stock index
- stock selection
- stopping time
- stress functional
- stretched exponential distribution
- strict stationarity
- strong orthogonality
- Student copula
- Student distribution
- Svensson family
- swap
- swaption
- symmetric stable distribution
- t
- tail plot
- tangency portfolio
- technical analysis
- term spread
- theta
- time series
- total return index
- trading strategy
- treasury bill
- treasury bond
- treasury note
- Treasury STRIPS
- u
- U.S. Treasury securities
- upper partial moment
- v
- value process
- value-at-risk
- valued at par
- variance swap
- VEC model
- vertical spread
- vertical spreads
- VIX index
- volatility
- volatility surface
- volatility swap
- w
- Weibull distribution
- white noise process
- Wiener process
- y
- yield
- yield curve
- z
- zero-coupon bond
- zero-rate curve
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