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| Авторизация |
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| Dash J. — Quantitative Finance and Risk Management: A Physicist's Approach |
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| Предметный указатель |
Floating rate 112
Floors 127
Footnotes 4 19
Forest, B. 559
Fortran 90 438
Forward bond 585
Forward rates 77 143
Forward stock price 742
Forward swap 148
Forward-future correction 78 572
Fourier transform 273 371 763
Fox, B. 201
FRAs 94
FRN 106
Fudge factor for systems 432
Fuller, J. 393 481
Function toolkit 647
Function toolkit and trading 648
Function toolkit example 759
Function toolkit in engineering 755
Function toolkit in physics 755
Fundamental theorem of data 19 449
Fundamental theorem of systems 432
Fundamental theory of finance? 637
Futures 19 74 75 78 93
FX forwards 35 36
FX options 35
FX triangles 298
FX volatility skew 41
Gabor, D. 770
gadgets 65
Gamma 40
Gamma for a swap 97
Gamma ladders 104
Gamma matrix 104
Gantt and pert char ts 434
gaps 417
Garbade, K. 657
Garman, M. 196
Gatarek, D. 561
Gaussian 283
Gaussian model with memory 589
Gell-Mann, M. 508 634
General model with memory 574
Generalized kurtosis 733
Generating function 371
Geometrical volatility 620
Geske, R. 506 598
Girsanov's theorem and path integrals 509 538 540
Gladd, T. 58 421 471
Glasserman, P. 611
Goat language 21
Goldberg, G. 21
Graham, T. 559
graphs 22
Greeks 9 39 90
Green function 189 274 562 570 627 631
Green function with quasi-random drift 737
Grossmann, A. 763 770
Haan, D. 606 656
Heath, D. 365 561
Hedges 9 152
Hedging 27 39 43 93 96 98 128 129 130 140 176 207 223 238 308 339 544 741
Heisenbugs 439
Heretical remark 637
Herman, G. 559 656 657
Herskovitz, M. 505
Heston, S. 60
High-performance FORTRAN 445
Hill, J. 441 457
Hillion, P. 618
Hiscano, D. 164
historical data 451
Historical quasi-equilibrium YC path 688
Historical scenarios 10 478
Historical VAR 343
history 3 4 47 51 56 60 85 105 136 180 201 209 211 214 219 236 243 252 253 257 265 271 287 295 320 325 341 369 393 421 441 461 475 489 505 541 546 559 597 625 629 631 649 657 681 717
HJM 77
Ho — Lee model 560
Hogan, M. 508 597
Horizon time 392
Hughston, L. 561
Hull — White model 559
Hull, J. 60 559
Humphreys, D. 343
Hurst exponents 631
Hybrid 2-D barrier options 211
Hybrid lattice Monte-Carlo 611
Hybrid options 265
Hyperbolic geometry 297
Iacono, F. 410
Idiosyncratic risks 121 342 359
Illiquidity 130 391
Illiquidity penalty 360
Image green function 259
Images 245 258
IMM dates 19
IMM swaps 93
Implied volatilities 126 130
Improved plain-vanilla VAR 341 353
Independent models 422
Index-amortizing swaps 232
Indicative pricing 192
Ingersoll, J.E. 561
Integrated VAR measures 366
Interest-rate risk ladders 617
Intuition 51 193 221
IPV-VAR 341 353
ISDA 95
It (the most dangerous word) 17 22 432
Ito prescription 512
Ito's lemma 545
Jacquillat, B. 736
Jamshidian, F. 138 344 559 587
jargon 75 96 213
Jarnagin, R. 559
Jarrow, R. 561 618
Jian, K. 325
Job interview question 154
Johnson, C. 71
Johnson, H. 506 598
jumps 293 417 523
Kaminsky, G. 746
KAOS exponents 638
Kavalov, A. 580 627 632
Kink definition 662
Kinks 650 658 667 697
Knock-in options 249
Knock-out options 245
Lagrangian 633
Langsam, J. 611
Laplace transform 761
Lattice approximations 608
Least squares 322
Lee, R. xix
legal 180
Legal correlation matrix 319
Levy, E. 278
Libor 19 74 128
Libor swaps 75
Limit exceptions 491
Linear parallelization 445
Linetsky, V. 254
Liquidation penalty 392
Liquidation time 392
Liquidity 148 165 355 403
Local volatility 62
Lognorm model 149
Lognormal multifactor model 642
Longstaff, F. 611
| Lost opportunity spread 483
Lotus 439
LTCM 366
Macro component 417 719
Macro simulator 721
Macro time step dynamics 722
Macro-micro correlation model 331
Macro-micro model 69 560 642 644 683 721 724 733
Macro-micro model and Derman's equity regimes 745
Macro-micro model and no arbitrage 737
Macro-micro model for FX 733
Macro-micro model formal developments 737
Macroeconomics 719 727 746
Magic dust 326
Maloney, M. 735
Managers xix 21
Mandel, R. 142
Mandelbrot, B. 632
Mandelstam, S. 635
Margin account 78
Marinovich, N. 410
Marker, J. 393 481
Market input rates 73
Market models 561
Market risk 11 406
Market risk managers 489
Marshall, D. 598
Mass renormalization 546
Matrix pricing 121
Maxvol 294
Mean reversion 292 417
Mean-reverting Gaussian model 276 569
Merrill Lynch 4 441 505 559 606 651
Methodology 424
Micro component 720
Micro fluctuations 727
Milevsky, M. 278
Model assumptions 424
Model for unused limit risk 491
Model limitations 417
Model QA documentation (quants) 425
Model QA documentation (systems) 425
Model QA documentation (users) 425
Model quality assurance 419 421
Model reserves 418
Model risk 81 415 416 418
Model testing environment 424
Model topics 11
Model validation 419 421
Models and Aristotle 149
Models and parameters 419
Models and psychological attitudes 418
Models and reporting 124
Modified Black — Scholes formula 744
Modified no arbitrage condition 743
Monet, C. 410
Moneyness 68
Monte Carlo simulation 196 599
Monte Carlo simulation using path integrals 609
Monte-Carlo CVARs 347
Monte-Carlo effective paths 216
Monte-Carlo VAR 346
Moody's ratings 111
Morlet, J. 770
Mortgage potential 546
Mortgage servicing 235
MPI (message passing interface) 446
MRG model 559
Multidimensional path integrals 628
Muni derivatives 221
Muni futures 222
Muni options 222
Munis 114
Musiela, M. 561
N sphere 319
Nairay, A. 559 717 736
Nathan, A. 27
Negative forward rates 753
No arbitrage and yield-curve dynamics 725
No arbiuage 510 543 723 739 741
No-arbitrage, hedging and path integrals 541
Nominal interest rate grid 604
Non-technical managers 431
Noncallable bonds 106
Nonlinear diffusion 417
Normal integral approximation 623
Notation 190 248 258 259 265 271 333 341 385 465 507 513 514 522 524 564 605 607 635 656
Notation for path integrals 516 563
Nozari, A. 461
Number of parameters 693
Numerical approximations 602
Numerical code 51 136 142 304
Numerical errors 616
Numerical instabilities 120
Numerical noise 142
O(2, 1) 298
OAS 121
Olive, D. 700
Omarova, N. 746
One-sided markets 338
Operational risk 12 415
Optimal PD stressed matrix 321
Option extension 167
Option replication 65
Option-adjusted spread 121
oscillations 614 615 758
Outliers 284
Overcompleteness 770
P&L correlations 390
Pairs trading 308
Parallel processing 437 442
Parallel supercomputer 444
Parameters 419
Parisi, G. 462
Path integral discretization 603
Path integrals 273
Path integrals and finance 501
Path integrals and Green functions 542
Path integrals and physics 501
Path integrals and stochastic equations 579
Path integrals and VAR 378
Path integrals introduction 506
Path integrals-basics 502
Path integrals-review 561
Payments in arrears 92
PD correlation matrix 319
Perelberg, A. 232
Periodic caps 231
Personnel risk 23 423 433
Perturbation theory 63
Perturbative skew 56
Phase transition 117 634
Phi 40
Physical picture for rates 690
Picoult, E. 109 421 485
Pisanchik, J. 749
Pit options 130 238
Plain-vanilla VAR 341
portfolios 33 151
Positive-definite correlation matrix 319 331
Posner, S. 278
Potential losses 107
Power Options 230
presentations 22
prices 152
Pricing 27 85 164 169 173 260 267 391 614
Prime caps 131
Prime rate 720
Prime rate and macro-micro model 131
Principal-component analysis 656
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