Index
A
acceptable values, determining range of, 76, 85-87
access in historical database (in backtesting systems), 220-221
adaptive optimization, 233-234
adjacent cells, average of, 103-104
alternating-variable ascent optimization method, 116-118
comparison with random search method, 132
effectiveness of, 128
American option, defined, 251
amoeba search optimization method, 123-127
analysis of variance (ANOVA) in one-dimensional capital allocation system, 190-191
analytical method (index delta calculation), 142-143
analytical method (VaR calculation), 137
arbitrage situations, tests for, 223
assets
in delta-neutral strategy, 5
in portfolio
analysis of delta-neutrality strategy, 24-25
analysis of partially directional ...
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