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| Dash J. — Quantitative Finance and Risk Management: A Physicist's Approach |
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| Предметный указатель |
30/360 day count 82
Abarbanel, H. 635 665
Accrued interest 119
Acknowledgements xix 27 71 85 142 164 176 201 210 232 265 311 323 325 343 393 408 421 437 441 453 457 461 471 481 484 485 489 505 559 577 587 598 603 606 632 642 649 651 657 658 717 720 736 746 749 763
Advance notice 148
Affine models 561
Aged inventory 391
Aggregation 387
Algorithms 424
Allocation and CVARs 482
Allocation and standalone risk 482
American options 30 537
American swaption 141
Andersen, L. 69 561
Andreasen, J. 69 561
Angle volatilities 315
Angle-angle correlations 315
Arbs 164
ARIMA models 577 764
ARM caps 231
Atlantic path 531 547
Average macro drift 723
Average-rate caplet 275
Average-rate digital 275
Average-target correlation 309
Averaged diffusion equation 740
Averaged volatility 277
Averaging 162 175
Avoid double counting 407
Azimuthal angles 297
Back of the envelope 197
Back office 272
Back-chaining 165 175 612
Backflip option 23 494
Backtesting 347
Backward diffusion 529
Baker, M. 635
Bali, N. 287
Banner options 56 243 248 265
Banner step 254
Barrier potential theory 253
Basis point 20 74
Basis risk 148 224
Basis swaps 91
Basket options 31
Baskets 325 338 625
BDT model 560
Beauty contest 146
Beilis, A. xix 421 649 681
Berger, E. 278
Bermuda options 530
Bertonazzi, E. 735
Best-of option 183
Bhansali V. 210
Bid side swap 96
Binomial approximation 598 600
Bins 602
Bivariate integral 173 269
Bivariate model 335
Black formula 125
Black hole data lemma 290
Black option model 223
Black — Scholes formula 248
Black — Scholes model 222 509
Black, F. 560
Blomberg, S. 736
Bloomberg, L.P. 559
Bond conventions 119
Bond futures 96
Bond issuance 115
Bond math 118
Bond trading 116
bonds 111
Bonds with puts and calls 613
Bookstaber, R. 305
Born approximation 546
Bossaerts, P. 618
Boyle, P. 611
Brace, A. 561
Break-even rate 101
Broadie, M. 611
Brock, W. 632
Bronzan, J. 635
Bullet bonds 106 612
Bushnell, D. 489
Business trips 598
Buyback 180
C 439
C++ 128 229 438
Calculators 431
Call filtering 618
Callable bonds 112
Callable DEC 185
Calling a bond 144
Caplet 148
Caps 123
Carr, P. 60
Carry 237
Cash rates 74 79
Castresana, J. xix 176 320 421 508 597 603
CDA 685 697 733
Centre de physique theorique xix
Chameleon bond 163
Chan, L.P. 421
Changeover point 79
Chaos 632
Chaos and macro-micro model 747
Charm 40
Chin, M. 737
Cholesky decomposition 303 325 327 346
CIFEr 3
CIR model 561
Citibank 4 85
Citigroup xix 4 311 323 393 408 453 457 720
Classical path 560 591 696
Clients 201 210
Cliquets 226
Close of business 73
Cluster-decomposition analysis 623 682 685 694 697
CMT caps 135
CMT rates 132
CMT swaps 135
CNRS xix 505
code comments 22 423
COLOR 40
Color movies 13 365
Color printer 157
Commodity options 214
Communication issues 16 21 23 157 433
Completeness 770
Compounding rates 82
Computing nodes 444
Concentration 402
Confidence levels 286 289 346 350 401 480
Consistency check 198
Constan, A. 489
Contingent caps 201
continuum limit 543 566
Conventions 43 96
Convergence 259 427
Convergence trades 117 308
Convertible issuance 239
Convertibles 113 186
Convexity 119 343 353
Corporate VAR 461
Corporate-level VAR 387
Correlation degeneracy 457
Correlation dependence on volatility 335
Correlation dynamics 329
Correlation instability 330 453
| Correlation signs 50
Correlation time intervals 333
Correlations 50 220 297
Correlations and # data points 456
Correlations and data 453
Correlations and jumps 455
Correlations and the N-sphere 304
Correlations for baskets 338
Correlations in high dimensions 301
Correlations least-squares fitting 321
Cost cutting 487
Counterparty credit risk 107
Counterparty default 107
Counterparty risk 394
coupons 585
Cox, J.C. 561
Creativity 15
Credit correlations 402
Credit rating criteria 475
Credit ratings 111 393
Credit risk 12
Credit spreads 186
Critical american path 612
Critical exponents 631
Cross-currency swaps 92
Cross-market knock-out cap 212
Crystal Ball 64
Currency pressure index 746
Curve smoothing 80
Cushions 167
Cutoffs 356
CVAR uncertainty analogy 348
CVAR volatility 341 369 376 381 385
CVARs 341 389
CVR option 161
Cycles 647
Daily trading volume 240
Damping 758
Dangerous pronouns 17
Dash, J.W. 635
DATA 342 451
Data completeness 450
Data consistency 449
Data groups 451
data preparation 451
Data reliability 450
Data sentences 449
Data topics 11
Data vendors 450
Davidson, axix 60 505 546 559
Day-count conventions 74
de Prony, Baron 763
DEC 183
Delta 39 142
Delta ladders 97 143
Delta strangles 43
Derman, E. 63 65 68 560 745
Desk-level model QA 421
Difference option 224
Diffusion and drunks 46
Diffusion equation 582
Digital options 205 261
Dirac delta function 273 371 462 518 542 580 627
Disclaimer 167 342 423
discount factor 118
Discounting rate 186
Discrete barrier 252
Diversification 117 330 351
Dividends 523 524 527 530
DKO option 260
Documentation 423
Double barrier option 257 260
Driscoll, M. 441
Duffie, D. 561
Duration 119
DV01 96
Economic capital 358 475
Economic capital analogy 476
Economic capital cost 483
Economic-capital utility function 484
Economics and macro-micro model 646 731
Effective number of SD 376
Eighty-twenty rule 15
Elliptic functions 259
Enhanced/stressed VAR 341 357
Epperlein, E. 325
Epstein, S. 658
Ergodic statement 480
Ergodic trick 349
Errors 197
ES-VAR 341 357
Estimated correlation probability 465
Eurobrokers 4 85 598
European swaptions 137 148
Excel 19 24 285
Exchangeables 184
Exercise 19
Expected losses 344 485 486
Exponential interpolation 623
Exposure 343
Exposure basket 494
Exposure changes 403
Exposure double-up 364
Exposure ending level 363
Exposure fractions 491
Exposure reduction 361 364
Exposure scenarios 496
Exposure starting level 362
Extension 162
Extension option 198
Fama, E.F. 690
FAS 123 215
Fat tails 284 690 717 746
Fat-tail example 284
Fat-tail gaussians 288
Fat-tail volatility 286 287 358 377
Favorite options model 415
FCMC 85
Fed and the macro component 718 735
Federico, S. xix 484 505 763
Feedback 424
Feiger, G. 736
Feynman, R. 501 508 571 597
Fibers 297
Fifty-fifty votes 684
Figures, CDA test 701
Figures, correlations 667 702
Figures, eigenfunctions 667 702
Figures, eigenvalues 667 702
Figures, eleven maturities 667
Figures, fat tails 702
Figures, libor (macro + micro) 727
Figures, macro paths 726
Figures, micro paths 727
Figures, prime rate (macro) 727
Figures, quasi-equilibrium yield curve 667 702 726
Figures, shift means 667 702
Figures, SMRG YC simulation 702
Figures, statistical measures 667 702
Figures, YC principal components 667 702
Figures, YC principal components SMRG model 702
Figures, yield fluctuations 702
Figures, yield volatilities 667 702
Figures, yield-curve data 667 701
Figures, yield-curve SMRG model 701
First time interval 606
Fisher's transform 459 461
fixed rate 111
Flesaker, B. 561
Flight to quality 117 330
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