Principal-component formalism 662
Principal-component options 209
Principal-component path integrals 629
Principal-component risk measures 210
Principal-component simulation 657
Principal-component stressed correlations 313
Principal-component VAR 342
Programming difficulties 434
Prony analysis 763
Proprietary models 423
Proprietary trading 769
Prototyping 416 435
Pruning the tree 606
Put spread 162
Put-call parity 54 139
Quadratic plain-vanilla VAR 344
Quant-group managers 16
Quantitative analysis groups 4
Quanto options 50
Quants xix 15 421
Quasi-equilibrium yield curve path 642 654 683
Quasi-European approximation 619
Quasi-random correlation slope 332
Quasi-random trends 755
Random correlation matrices 313
Random macro slope 722
Random trends 767
Rapaport, G. 437
Rate conventions 81
Rate interpolation 83
Rate-dependent volatility models 586
Realized volatilities 130
rebates 48 243 262 263
Rebates at touch 263
Recovery rate uncertainty 401
REER 746
Reggeon field theory 631
Reinhart, C. 746
Reload option exercise 215
Reload options 214
Renormalization 326
Renormalization group 634
Replicating portfolio 58
Repo 95 134 236
Repo rate 222
reporting 20 399
Reserves 344
Reset rates 272
Resettable options 226
Restrictions on sale 216
RFT 631
RFT application to finance 637
RFT in physics 632
Rho 40
Rich-cheap analysis 164
Rigor 32 132 508
Risk aggregation 96 150
Risk classification 479
RISK conference 410 460 715 730
Risk limits 489
Risk reversals 43
Risk-free rate 510
Rodriguez, M. 311 320 323
Rogers, C. 574
Rosen, D. 410
Ross, S. 506
Ross, S.A. 561
Rubenstein, M. 243
Rubin, L. 27
Rudd, A. 618
Rules of thumb 63
S&P ratings 111
Salomon Smith Barney 4 85
Sample documentation 424
Sampling error 461
Sanity checks 51 229
Savit, R. 632
Scenario simulator 157
Scenarios 10 33 90 153 155 167 178 204 205 238 307 344 726
Schickele, P. 764
Schwartz distributions 518
Schwartz, T. 481
Schwinger formalism 546
Science and finance 7
Seigel, L. xix 642 745
Selvaggio, B. 410
Semi group 247 515 547
Separating market and credit risk 407
Serial correlation 290
Shapiro, H. 441
Sharpe ratios 484
Sheffield, R. 749
Short positions 401
Simple harmonic oscillator 277
Singular value decomposition 326
Skew 53 546
Skew-implied probability 63
Sliding down the forward curve 157
Sliding down the yield curve 76
Slighton, E. 717
Smith Barney 4 85
SMRG model 682 692
Sociology 188 236 614
Software development problems 440
Sparks, N. 410
Speed 40
Spherical representation 303
SPREAD 120
Spread uncertainty 401
Spreads between adjacent maturities 661
Stand-alone risks 389
Static replication 58
Statistical measures 478
Statistical scenario 10
Statistical tests 651 691
Sticky delta 68
Sticky moneyness 68
Sticky strike 68
Stochastic equations 591 607 626 659 695
| Stochastic equations and path integrals 579
Stochastic transition/default matrices 398
Stochastic volatility 60 358
Story 113 128 214 284 421 424 438 439 441 524 598
Stratanovich prescription (not used) 512
Strategy 360
Stress testing 477
Stressed correlations 325 359
Stressed transition/default matrices 396
Stressed VAR 358
Strong mean reversion 689 733
Stuckey, R. 393
Surface terms 277 571
SVD 325 346
Swaplets 88
Swaps 79 85
Swaption deal 146
Swaptions 32 137
Swaptions and risk management 144
Synthetic convertibles 183
Systems solution 440
Systems topics 11
Systems traps 432
Taleb, N. 56
Tech. index (definition) 3
Technical analysis 749
Technology, strategy and change 446
Term sheet 92
Term-structure constraints 591 744
The Bloomberg 119
Theta 40 150
Third-order correlation function 685 687 688
Three principal component example 665
Three strikes rule 491
Three-fives systems criteria 431
Three-point correlation analysis 765
Tilt delta 210
Tilt gamma 210
Time scales 416 485 641
Time step 721
Time thresholds 756
tips 219 735
Toolkit functions 757
Total return 204
Toy, W. 560
Tracy, T. 410
Trader on a stick 124
Traders xix 27 292 330 356 400 421
Traders and risk management 13
Traders in the closet 720
Trading 769
Traditional measures of capital 487
Transition probabilities 605
Transition/default probability matrices 394
Transition/default probability uncertainties 400
Treasuries 75
Treasury-bond option models 222
Trivariate integral 173
Turetsky, J. 265
Turnbull, S. 278 410
Tutorial 3
Tutorial (CIFEr) 734
Two-country paradox 48
Two-dimensional options 265
Uncertainties 8 197
Unified credit + market risk 410
Unitarity 529
UNITS 74 178 377 484
Unused limit economic capital 497
Unused-limit risk 489
Useful integrals 251 268 274 515
VAR aggregation 388
VAR and subadditivity 365
VAR calculations 343
VAR scaling-factors 358
VAR synopsis 381
VAR uncertainty 357
Variable strike 193
Vasicek, O. 690
VCR option 161
Vectorization 445
Vega 40 131 140 150
Vega ladders 129
Vega paradox 140
Velocity 546
Vendor systems 436
Vol of vol 60
Volatility 139 510
Volatility estimate 462
Volatility regimes 68 69
Volatility surface 55
Wakeman, L.M. 278
Warrant 164
Watson, E. 95
Wavelets 763
Weights 322
What-if scenario (WIS) 10
Whipsaw analysis 207
White, A. 60 559
window size 454
Windows 290 454
WIS and entropy 478
WIS numerical 477
Wishart distribution 464
Wishart generating function 470
Wishart theorem 461
Wishart — Fourier transform 468
WKB approximation 467 508 646
Workstation networks 444
workstations 441
World scientific xix
Yield 118
Yield conventions 118
Yield-curve correlations 654
Yield-curve kinks 642 655 691
Yield-curve shape options 209
Zero correlations 329
Zero-coupon bond 112 560 567
Zhu, Y. 344
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