Encyclopedia of Quantitative Finance

Contents

  • ABS Indices
  • Accumulated Claims
  • Actuarial Premium Principles
  • Adverse Selection
  • Affine Models
  • Algorithmic Trading
  • Alternating Direction Implicit (ADI) Method
  • Altiplano Option
  • Ambiguity
  • American Options
  • Arbitrage Bounds
  • Arbitrage: Historical Perspectives
  • Arbitrage Pricing Theory
  • Arbitrage Strategy
  • Arrow, Kenneth
  • Arrow–Debreu Prices
  • Asian Options
  • Asset–Liability Management
  • Atlas Option
  • Autocall
  • Automated Trading
  • Autoregressive Moving Average (ARMA) Processes
  • Average Strike Options
  • Bachelier, Louis (1870–1946)
  • Backtesting
  • Backward Stochastic Differential Equations
  • Backward Stochastic Differential Equations: Numerical Methods
  • Barndorff-Nielsen and Shepard (BNS) Models
  • Barrier Options
  • Base Correlation
  • Basket Default Swaps
  • Basket Options
  • Bates Model
  • Behavioral Portfolio Selection
  • Bermudan Options
  • Bermudan Swaptions and Callable Libor Exotics
  • Bernoulli, Jacob
  • Bid–Ask Spreads
  • Binomial Tree
  • Black, Fischer
  • Black–Litterman Approach
  • Black–Scholes Formula
  • Bond
  • Bond Options
  • Bubbles and Crashes
  • Butterfly
  • Call Auction Markets
  • Call Options
  • Call Spread
  • Capital Asset Pricing Model
  • Caps and Floors
  • Catastrophe Bonds
  • CDO Square
  • CDO Tranches: Impact on Economic Capital
  • Change of Numeraire
  • Cliquet Options
  • CMS Spread Products
  • Collateralized Debt Obligation (CDO) Options
  • Collateralized Debt Obligations (CDO)
  • Commodities and Nume’raire
  • Commodity Forward Curve Modeling
  • Commodity Price Models
  • Commodity Risk
  • Commodity Trading
  • Compensators
  • Complete Markets
  • Conjugate Gradient Methods
  • Constant Elasticity of Variance (CEV) Diffusion Model
  • Constant Maturity Credit Default Swap
  • Constant Maturity Swap
  • Constant Proportion Portfolio Insurance
  • Convertible Bonds
  • Convex Duality
  • Convex risk measures
  • Convexity Adjustments
  • Copulas: Estimation
  • Copulas in Econometrics
  • Copulas in Insurance
  • Correlation Risk
  • Correlation Swap
  • Corridor Options
  • Corridor Variance Swap
  • Counterparty Credit Risk
  • Cox–Ingersoll–Ross (CIR) Model
  • Crame’r–Lundberg Estimates
  • Crame’r’s Theorem
  • Crank–Nicolson Scheme
  • Credibility Theory
  • Credit Default Swap (CDS) Indices
  • Credit Default Swap Index Options
  • Credit Default Swaps
  • Credit Default Swaption
  • Credit Migration Models
  • Credit Portfolio Insurance
  • Credit Portfolio Simulation
  • Credit Rating
  • Credit Risk
  • CreditRisk+
  • Credit Scoring
  • Currency Forward Contracts
  • Default Barrier Models
  • Default Time Copulas
  • Delta Hedging
  • Discretely Monitored Options
  • Dispersion Trading
  • Diversification
  • Dividend Modeling
  • Doob–Meyer Decomposition
  • Drawdown Minimization
  • Duffie–Singleton Model
  • Dupire Equation
  • Duration Models
  • Early Exercise Options: Upper Bounds
  • Econometrics of Diffusion Models
  • Econometrics of Option Pricing
  • Economic Capital
  • Economic Capital Allocation
  • Econophysics
  • Efficient Market Hypothesis
  • Efficient Markets Theory: Historical Perspectives
  • Electricity Forward Contracts
  • Electricity Markets
  • Emissions Trading
  • Employee Stock Options
  • Entropy-based Estimation
  • Equity–Credit Problem
  • Equity Default Swaps
  • Equity Swaps
  • Equivalence of Probability Measures
  • Equivalent Martingale Measures
  • Esscher Transform
  • Eurodollar Futures and Options
  • Exchange Options
  • Exchange-traded Funds (ETFs)
  • Execution Costs
  • Exercise Boundary Optimization Methods
  • Expectations Hypothesis
  • Expected Shortfall
  • Expected Utility Maximization
  • Expected Utility Maximization: Duality Methods
  • Exponential Le’vy Models
  • Exposure to Default and Loss Given Default
  • Extreme Value Theory
  • Factor Models
  • Filtering
  • Filtrations
  • Finite Difference Methods for Barrier Options
  • Finite Difference Methods for Early Exercise Options
  • Finite Element Methods
  • Fisher, Irving
  • Fixed Mix Strategy
  • Foreign Exchange Basket Options
  • Foreign Exchange Markets
  • Foreign Exchange Options
  • Foreign Exchange Options: Delta- and At-the-money Conventions
  • Foreign Exchange Smile Interpolation
  • Foreign Exchange Smiles
  • Foreign Exchange Symmetries
  • Forward and Swap Measures
  • Forward–Backward Stochastic Differential Equations (SDEs)
  • Forward-starting CDO Tranche
  • Forwards and Futures
  • Fourier Methods in Options Pricing
  • Fourier Transform
  • Fractional Brownian Motion
  • Free Lunch
  • Fundamental Theorem of Asset Pricing
  • Gamma Hedging
  • Gamma Swap
  • GARCH Models
  • Gaussian Copula Model
  • Gaussian Interest-Rate Models
  • Generalized Hyperbolic Models
  • Generalized Method of Moments (GMM)
  • Gerber–Shiu Function
  • Glosten–Milgrom Models
  • Good-deal Bounds
  • Hazard Rate
  • Heath–Jarrow–Morton Approach
  • Heavy Tails
  • Heavy Tails in Insurance
  • Hedge Funds
  • Hedging
  • Hedging of Interest Rate Derivatives
  • Heston Model
  • High-frequency Data
  • Himalayan Option
  • Hull–White Stochastic Volatility Model
  • Implied Volatility: Large Strike Asymptotics
  • Implied Volatility: Long Maturity Behavior
  • Implied Volatility: Market Models
  • Implied Volatility in Stochastic Volatility Models
  • Implied Volatility Surface
  • Implied Volatility: Volvol Expansion
  • Infinite Divisibility
  • Inflation Derivatives
  • Insurance Derivatives
  • Insurance Risk Models
  • Integral Equation Methods for Free Boundaries
  • Intensity-based Credit Risk Models
  • Intensity Gamma Model
  • Internal-ratings-based Approach
  • Intraday Price Efficiency
  • Inventory Effects
  • Ito, Kiyosi (1915–2008)
  • Ito’s Formula
  • Jarrow–Lando–Turnbull Model
  • Jump-diffusion Models
  • Jump Processes
  • Kelly Problem
  • Kolmogorov, Andrei Nikolaevich
  • Kou Model
  • Kyle Model
  • Large Deviations
  • Large Pool Approximations
  • Lattice Methods for Path-dependent Options
  • Leveraged Super-senior Tranche
  • LIBOR Market Model
  • LIBOR Market Models: Simulation
  • LIBOR Rate
  • Life Insurance
  • Limit Order Markets
  • Liquidity
  • Liquidity Premium
  • Loan Valuation
  • Local Correlation Model
  • Local Times
  • Local Volatility Model
  • Lognormal Mixture Diffusion Model
  • Long Range Dependence
  • Long-Term Capital Management
  • Lookback Options
  • Le’vy Copulas
  • Le’vy Processes
  • Managed CDO
  • Mandelbrot, Benoit
  • Margrabe Formula
  • Market Microstructure Effects
  • Market Risk
  • Market Transparency
  • Markov Functional Models
  • Markov Processes
  • Markovian Term Structure Models
  • Markowitz, Harry
  • Martingale Representation Theorem
  • Martingales
  • Mean–Variance Hedging
  • Measurements Errors
  • Merton Problem
  • Merton, Robert C.
  • Method of Lines
  • Minimal Entropy Martingale Measure
  • Minimal Martingale Measure
  • Mixed Data Sampling
  • Mixture of Distribution Hypothesis
  • Model Calibration
  • Model Validation
  • Modeling Correlation of Structured Instruments in a Portfolio Setting
  • Models
  • Modern Portfolio Theory
  • Modigliani, Franco
  • Modigliani–Miller Theorem
  • Moment Explosions
  • Monotone Schemes
  • Monte Carlo Greeks
  • Monte Carlo Simulation
  • Monte Carlo Simulation for Stochastic Differential Equations
  • Multifractals
  • Multigrid Methods
  • Multiname Reduced Form Models
  • Multivariate Distributions
  • Municipal Bonds
  • Mutual Funds
  • Nested Simulation
  • Normal Inverse Gaussian Model
  • Oil Market
  • Operational Risk
  • Optimization Methods
  • Option Pricing: General Principles
  • Option Pricing Theory: Historical Perspectives
  • Options: Basic Definitions
  • Order Flow
  • Order Types
  • Ornstein–Uhlenbeck Processes
  • Parisian Option
  • Partial Differential Equations
  • Partial Integro-differential Equations (PIDEs)
  • Passport Options
  • Performance Measures
  • Phase-type Distribution
  • Point Processes
  • Poisson Process
  • Portfolio Credit Risk: Statistical Methods
  • Predictability of Asset Prices
  • Price Impact
  • Pricing Formulae for Foreign Exchange Options
  • Pricing Kernels
  • Probability of Informed Trading
  • Pseudorandom Number Generators
  • Put–Call Parity
  • Quadratic Gaussian Models
  • Quadrature Methods
  • Quantization Methods
  • Quanto Options
  • Quasi-Monte Carlo Methods
  • Random Factor Loading Model (for Portfolio Credit)
  • Random Matrix Theory
  • Rare-event Simulation
  • Rating Transition Matrices
  • Real Options
  • Realized Volatility and Multipower Variation
  • Realized Volatility Options
  • Recovery Rate
  • Recovery Swap
  • Recursive Preferences
  • Reduced Form Credit Risk Models
  • Regime-switching Models
  • Regulatory Capital
  • Reinsurance
  • Risk-Adjusted Return on Capital (RAROC)
  • Risk Aversion
  • Risk Exposures
  • Risk Management: Historical Perspectives
  • Risk Measures: Statistical Estimation
  • Risk Premia
  • Risk-neutral Pricing
  • Risk–Return Analysis
  • Risk-sensitive Asset Management
  • Robust Portfolio Optimization
  • Roll Model
  • Ross, Stephen
  • Rubinstein, Edward Mark
  • Ruin Models with Investment Income
  • Ruin Theory
  • SABR Model
  • Saddlepoint Approximation
  • Samuelson, Paul A.
  • Second Fundamental Theorem of Asset Pricing
  • Securitization
  • Semimartingale
  • Sensitivity Computations: Integration by Parts
  • Sharpe Ratio
  • Sharpe, William F.
  • Simulation of Square-root Processes
  • Simulation-based Estimation
  • Skorokhod Embedding
  • Solvency
  • Sparse Grids
  • Special-purpose Vehicle (SPV)
  • Specialist Markets
  • Spectral Measures of Risk
  • Squared Bessel Processes
  • Static Hedging
  • Stochastic Control
  • Stochastic Control in Insurance
  • Stochastic Differential Equations with Jumps: Simulation
  • Stochastic Differential Equations: Scenario Simulation
  • Stochastic Discount Factors
  • Stochastic Exponential
  • Stochastic Integrals
  • Stochastic Mesh Method
  • Stochastic Taylor Expansions
  • Stochastic Volatility Interest Rate Models
  • Stochastic Volatility Models
  • Stochastic Volatility Models: Extremal Behavior
  • Stochastic Volatility Models: Foreign Exchange
  • Stock Pinning
  • Stress Testing
  • Structural Default Risk Models
  • Structured Finance Rating Methodologies
  • Style Analysis
  • Stylized Properties of Asset Returns
  • Superhedging
  • Swap Market Models
  • Swaps
  • Swing Options
  • Tempered Stable Process
  • Term Structure Models
  • Thorp, Edward
  • Tikhonov Regularization
  • Time Change
  • Time-changed Le’vy Process
  • Top-down Approach (to Credit Portfolio Derivatives)
  • Total Return Swap
  • Transaction Costs
  • Tree Methods
  • Treynor, Lawrence Jack
  • Trigger Swaps
  • Uncertain Volatility Model
  • Universal Portfolios
  • Utility Function
  • Utility Indifference Valuation
  • Utility Theory: Historical Perspectives
  • Value at Risk
  • Vanna–Volga Pricing
  • Variance-gamma Model
  • Variance Reduction
  • Variance Swap
  • Volatility
  • Volatility Index Options
  • Volatility Swaps
  • Volume-weighted Average Price (VWAP)
  • Wavelet Galerkin Method
  • Weather Derivatives
  • Weighted Monte Carlo
  • Weighted Variance Swap
  • Wiener–Hopf Decomposition
  • Yield Curve Construction

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