Principles of Financial Engineering, 2nd Edition

Index

A

ABS. See Asset backed securities

ABX index, 566–568

Accrual swap, 150

Actual/actual conventions, 34

Actual/360 basis conventions, 34

Actual/365 basis conventions, 34

Ad hoc synthetics, 183

All-in-cost, 143–145

Analysts, 27

Annuity factors, 564

defaultable, 563

risky, 494, 497

Arbitrage, 40–41, 88–89, 169, 175, 275–276

index, 553–555

Arbitrage equality, 102–103, 494

Arbitrage-free asset price, 345, 347

risk-neutral dynamics for, 348, 350

Arbitrage-free dynamics, 350, 354–355, 357, 379

for asset pricing, 334

for forward rates, 389–393

stock price, 367

tree models, 335

Arbitrage-free initial conditions, 197–198

Arbitrage-free SDE, 334

Arbitrage-free spread, 556

Arbitrage opportunity, 285

definition of, 319

Arbitrage strategy, 320

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