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Dash J. — Quantitative Finance and Risk Management: A Physicist's Approach
Dash J. — Quantitative Finance and Risk Management: A Physicist's Approach

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Название: Quantitative Finance and Risk Management: A Physicist's Approach

Автор: Dash J.

Язык: en

Рубрика: Физика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2004

Количество страниц: 802

Добавлена в каталог: 02.03.2014

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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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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