Principles of Financial Engineering, 3rd Edition

Index

Notes: Page numbers followed by “b,” “f,” and “t” refer to boxes, figures, and tables, respectively.

A

ABSs, See Asset-backed securities (ABSs)

ABX index, 768, 768

Accrual swap, 145

Ad hoc synthetics, 245–248

AIFMs, See Alternative investment fund manager (AIFMs)

AIFs, See Alternative investment funds (AIFs)

All-in-cost, 140, 142–144

Alternative asset class, 228–229

Alternative investment fund manager (AIFMs), 229, 229

Alternative investment funds (AIFs), 229

Amortizing swaps, 124

Analysts, 36

Annuity factors, risky, 640, 643–644

Arbitrage, 49–50, 74–75, 165, 172b, 348b

index, 754–756

Arbitrage equality, 640

Arbitrage opportunity, 360–361

definition of, 399

Arbitrage strategy, 399

Arbitrage-free asset price, 428, 429

risk-neutral dynamics ...