Inside Volatility Filtering: Secrets of the Skew, 2nd Edition

Index

1. Additive observation noise
2. Affine process
3. A posteriori error covariance matrix
4. A posteriori estimate/errors, determination
5. Arbitrage
   1. riskless arbitrage
   2. term, usage
6. Arrival rate
   1. simulation, example
7. Asymptotic approximations
8. ATMF
9. At-the-money (ATM) puts/calls, implied volatilities
10. Augmented state vector
11. Auto-correlation
12. Average-estimated parameter-set
13.  
14. Back-testing, making
15. Backward induction, usage
16. Barrier option
17. Bayesian approach
    1. illustration
18. Bayes rule, usage
19. Bensoussan-Crouhy-Galai (BCG)
    1. approach
    2. model
20. Bergomi model
21. Bessel function. See Modified Bessel function of the second kind
22. Beta function, plots. See Incomplete beta function
23. Bet option
24. Bias test, usage
25. Binomial law, usage
26. Binomial trees
    1. centering condition
    2. framework
    3. notations, usage
    4. usage
27. Black-Scholes approach (derivatives market)
28. Black-Scholes-Barenblatt equation
29. Black-Scholes formula
30. Black-Scholes partial derivatives equation
31. Black-Scholes pricing
    1. equation, usage
    2. function
       1. correspondence
32. Blocking technique
33. Boundedness
34. Box-Ljung test
35. Breeden & Litzenberger identity
36. Breeden & Litzenberger implied distribution
37. Brownian motion
    1. addition
    2. concept
    3. consideration
    4. independence
    5. introduction
38. Burn-in period
39.  
40. Calibration frequency
41. Calibration methods
42. Call bid prices, usage
43. Call options
    1. implied volatility, deduction
    2. payoff
44. Carr-Madan replication, usage
45. Chaos theory
46. Chapman-Kolmogorov equation
    1. application
47. Characteristic function, usage
48. Chi-square normality test
49. Chi-square test
50. Cholesky factorization ...