Index
Abbreviations
Addition, matrix
Alpha, in finance
Alphabet, Greek
ARCH, Autoregressive conditional heteroscedasticitybw
Arithmetic Brownian motion
Autocorrelation
Autoregression
Autoregressive conditional heteroscedasticity (ARCH) model
Averages:
continuous random variables
discrete random variables
population and sample data
Back-testing
Bayes’ theorem
Bernoulli distribution
Best linear unbiased estimator (BLUE):
decay factor comparison
definition
Beta, of stock
Bimodal mixture distribution
Binary numbers
Binomial distribution. See also Distributions
Black-Karasinski model
Black Monday scenario
Black-Scholes equations
BLUE (best linear unbiased estimator):
comparison to decay factors
definition
Brownian motion
Cauchy distribution
CDF (cumulative distribution functions)
Central limit theorem
Central moments
CEV (constant elasticity of volatility) model
Chebyshev’s inequality
Chi-squared distribution
Cholesky decomposition
CIR (Cox-Ingersoll-Ross) model
Coefficient of determination
Coin flip examples
Cokurtosis
Combinatorics
Component distributions
Compounding
Computer simulations
Conditional probability
Confidence intervals
Confidence level, choosing
Constant elasticity of volatility (CEV) model
Continuously compounded returns
Continuous random variables:
cumulative distribution functions
definition
probability density functions
Continuous time series models
Coordinate vectors
Copulas
Correlation
Coskewness
Country exposures
Covariance
Cox-Ingersoll-Ross (CIR) model
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