The Mathematics of Financial Models: Solving Real-World Problems with Quantitative Methods

Index

 

• Actual/Actual day-count convention
• Adaptations of Black-Scholes formula:
  • dividend-paying stocks, pricing options on
  • forward contracts, pricing options on
  • futures contracts, pricing options on
• Adding expected time. See Expected time, adding
• Adding servers in queue. See Servers in queue, adding
• American-style options
• Analysis associated with hedging of European-style vanilla put option
  • considerations, additional
  • delta hedging
  • delta/vega hedging
• Annuitant:
  • age of/number of options
  • aging of/embedded option premiums
  • annualized options paradigm
  • death benefits and
  • death of/death notification
  • defined
  • earnings rider and
  • GMAB rider and
  • GMABs and
  • GMIBs and
  • GMWBs and
  • issue age/guaranteed value
  • issue age/settlement frequency
  • mortality rates and
  • mortality/survival probabilities
  • ratchet rider and
  • on-risk age/off-risk age
  • rollup rider and
  • surrenders and withdrawals
  • time intervals and
  • time T and
  • value of options and
• Antithetic variable technique
• Applications of simulations:
  • about
  • European-style options, valuing
  • Pi, estimating
  • queue, simulating a
• Arbitrage opportunities, delta hedging and
• ARCH (n) model
• Arithmetic averaging, Monte Carlo simulations and
• Arrow-Debreu price
• Arrow-Debreu value
• Asian options
• Assumptions underlying delta hedging
  • arbitrage opportunities and constant risk-free rate
  • dividends
  • scenario-based hedging
  • short selling
  • stock price process
  • transactions costs, continuous trading, and divisibility
  • volatility and risk-free rates, changes in
• ATM. See At-the-money ...