Encyclopedia of Quantitative Finance
Contents

List of Articles

ABS Indices
Accumulated Claims
Actuarial Premium Principles
Adverse Selection
Affine Models
Algorithmic Trading
Alternating Direction Implicit (ADI) Method
Altiplano Option
Ambiguity
American Options
Arbitrage Bounds
Arbitrage: Historical Perspectives
Arbitrage Pricing Theory
Arbitrage Strategy
Arrow, Kenneth
Arrow--Debreu Prices
Asian Options
Asset--Liability Management
Atlas Option
Autocall
Automated Trading
Autoregressive Moving Average (ARMA) Processes
Average Strike Options

Bachelier, Louis (1870--1946)
Backtesting
Backward Stochastic Differential Equations
Backward Stochastic Differential Equations: Numerical Methods
Barndorff-Nielsen and Shepard (BNS) Models
Barrier Options
Base Correlation
Basket Default Swaps
Basket Options
Bates Model
Behavioral Portfolio Selection
Bermudan Options
Bermudan Swaptions and Callable Libor Exotics
Bernoulli, Jacob
Bid--Ask Spreads
Binomial Tree
Black, Fischer
Black--Litterman Approach
Black--Scholes Formula
Bond
Bond Options
Bubbles and Crashes
Butterfly

Call Auction Markets
Call Options
Call Spread
Capital Asset Pricing Model
Caps and Floors
Catastrophe Bonds
CDO Square
CDO Tranches: Impact on Economic Capital
Change of Numeraire
Cliquet Options
CMS Spread Products
Collateralized Debt Obligation (CDO) Options
Collateralized Debt Obligations (CDO)
Commodities and Numéraire
Commodity Forward Curve Modeling
Commodity Price Models
Commodity Risk
Commodity Trading
Compensators
Complete Markets
Conjugate Gradient Methods
Constant Elasticity of Variance (CEV) Diffusion Model
Constant Maturity Credit Default Swap
Constant Maturity Swap
Constant Proportion Portfolio Insurance
Convertible Bonds
Convex Duality
Convex risk measures
Convexity Adjustments
Copulas: Estimation
Copulas in Econometrics
Copulas in Insurance
Correlation Risk
Correlation Swap
Corridor Options
Corridor Variance Swap
Counterparty Credit Risk
Cox--Ingersoll--Ross (CIR) Model
Cramér--Lundberg Estimates
Cramér's Theorem
Crank--Nicolson Scheme
Credibility Theory
Credit Default Swap (CDS) Indices
Credit Default Swap Index Options
Credit Default Swaps
Credit Default Swaption
Credit Migration Models
Credit Portfolio Insurance
Credit Portfolio Simulation
Credit Rating
Credit Risk
CreditRisk+
Credit Scoring
Currency Forward Contracts

Default Barrier Models
Default Time Copulas
Delta Hedging
Discretely Monitored Options
Dispersion Trading
Diversification
Dividend Modeling
Doob--Meyer Decomposition
Drawdown Minimization
Duffie--Singleton Model
Dupire Equation
Duration Models

Early Exercise Options: Upper Bounds
Econometrics of Diffusion Models
Econometrics of Option Pricing
Economic Capital
Economic Capital Allocation
Econophysics
Efficient Market Hypothesis
Efficient Markets Theory: Historical Perspectives
Electricity Forward Contracts
Electricity Markets
Emissions Trading
Employee Stock Options
Entropy-based Estimation
Equity--Credit Problem
Equity Default Swaps
Equity Swaps
Equivalence of Probability Measures
Equivalent Martingale Measures
Esscher Transform
Eurodollar Futures and Options
Exchange Options
Exchange-traded Funds (ETFs)
Execution Costs
Exercise Boundary Optimization Methods
Expectations Hypothesis
Expected Shortfall
Expected Utility Maximization
Expected Utility Maximization: Duality Methods
Exponential Lévy Models
Exposure to Default and Loss Given Default
Extreme Value Theory

Factor Models
Filtering
Filtrations
Finite Difference Methods for Barrier Options
Finite Difference Methods for Early Exercise Options
Finite Element Methods
Fisher, Irving
Fixed Mix Strategy
Foreign Exchange Basket Options
Foreign Exchange Markets
Foreign Exchange Options
Foreign Exchange Options: Delta- and At-the-money Conventions
Foreign Exchange Smile Interpolation
Foreign Exchange Smiles
Foreign Exchange Symmetries
Forward and Swap Measures
Forward--Backward Stochastic Differential Equations (SDEs)
Forward-starting CDO Tranche
Forwards and Futures
Fourier Methods in Options Pricing
Fourier Transform
Fractional Brownian Motion
Free Lunch
Fundamental Theorem of Asset Pricing

Gamma Hedging
Gamma Swap
GARCH Models
Gaussian Copula Model
Gaussian Interest-Rate Models
Generalized Hyperbolic Models
Generalized Method of Moments (GMM)
Gerber--Shiu Function
Glosten--Milgrom Models
Good-deal Bounds

Hazard Rate
Heath--Jarrow--Morton Approach
Heavy Tails
Heavy Tails in Insurance
Hedge Funds
Hedging
Hedging of Interest Rate Derivatives
Heston Model
High-frequency Data
Himalayan Option
Hull--White Stochastic Volatility Model

Implied Volatility: Large Strike Asymptotics
Implied Volatility: Long Maturity Behavior
Implied Volatility: Market Models
Implied Volatility in Stochastic Volatility Models
Implied Volatility Surface
Implied Volatility: Volvol Expansion
Infinite Divisibility
Inflation Derivatives
Insurance Derivatives
Insurance Risk Models
Integral Equation Methods for Free Boundaries
Intensity-based Credit Risk Models
Intensity Gamma Model
Internal-ratings-based Approach
Intraday Price Efficiency
Inventory Effects
Itô, Kiyosi (1915--2008)
Itô's Formula

Jarrow--Lando--Turnbull Model
Jump-diffusion Models
Jump Processes

Kelly Problem
Kolmogorov, Andrei Nikolaevich
Kou Model
Kyle Model

Large Deviations
Large Pool Approximations
Lattice Methods for Path-dependent Options
Leveraged Super-senior Tranche
LIBOR Market Model
LIBOR Market Models: Simulation
LIBOR Rate
Life Insurance
Limit Order Markets
Liquidity
Liquidity Premium
Loan Valuation
Local Correlation Model
Local Times
Local Volatility Model
Lognormal Mixture Diffusion Model
Long Range Dependence
Long-Term Capital Management
Lookback Options
Lévy Copulas
Lévy Processes

Managed CDO
Mandelbrot, Benoit
Margrabe Formula
Market Microstructure Effects
Market Risk
Market Transparency
Markov Functional Models
Markov Processes
Markovian Term Structure Models
Markowitz, Harry
Martingale Representation Theorem
Martingales
Mean--Variance Hedging
Measurements Errors
Merton Problem
Merton, Robert C.
Method of Lines
Minimal Entropy Martingale Measure
Minimal Martingale Measure
Mixed Data Sampling
Mixture of Distribution Hypothesis
Model Calibration
Model Validation
Modeling Correlation of Structured Instruments in a Portfolio Setting
Models
Modern Portfolio Theory
Modigliani, Franco
Modigliani--Miller Theorem
Moment Explosions
Monotone Schemes
Monte Carlo Greeks
Monte Carlo Simulation
Monte Carlo Simulation for Stochastic Differential Equations
Multifractals
Multigrid Methods
Multiname Reduced Form Models
Multivariate Distributions
Municipal Bonds
Mutual Funds

Nested Simulation
Normal Inverse Gaussian Model

Oil Market
Operational Risk
Optimization Methods
Option Pricing: General Principles
Option Pricing Theory: Historical Perspectives
Options: Basic Definitions
Order Flow
Order Types
Ornstein--Uhlenbeck Processes

Parisian Option
Partial Differential Equations
Partial Integro-differential Equations (PIDEs)
Passport Options
Performance Measures
Phase-type Distribution
Point Processes
Poisson Process
Portfolio Credit Risk: Statistical Methods
Predictability of Asset Prices
Price Impact
Pricing Formulae for Foreign Exchange Options
Pricing Kernels
Probability of Informed Trading
Pseudorandom Number Generators
Put--Call Parity

Quadratic Gaussian Models
Quadrature Methods
Quantization Methods
Quanto Options
Quasi-Monte Carlo Methods

Random Factor Loading Model (for Portfolio Credit)
Random Matrix Theory
Rare-event Simulation
Rating Transition Matrices
Real Options
Realized Volatility and Multipower Variation
Realized Volatility Options
Recovery Rate
Recovery Swap
Recursive Preferences
Reduced Form Credit Risk Models
Regime-switching Models
Regulatory Capital
Reinsurance
Risk-Adjusted Return on Capital (RAROC)
Risk Aversion
Risk Exposures
Risk Management: Historical Perspectives
Risk Measures: Statistical Estimation
Risk Premia
Risk-neutral Pricing
Risk--Return Analysis
Risk-sensitive Asset Management
Robust Portfolio Optimization
Roll Model
Ross, Stephen
Rubinstein, Edward Mark
Ruin Models with Investment Income
Ruin Theory

SABR Model
Saddlepoint Approximation
Samuelson, Paul A.
Second Fundamental Theorem of Asset Pricing
Securitization
Semimartingale
Sensitivity Computations: Integration by Parts
Sharpe Ratio
Sharpe, William F.
Simulation of Square-root Processes
Simulation-based Estimation
Skorokhod Embedding
Solvency
Sparse Grids
Special-purpose Vehicle (SPV)
Specialist Markets
Spectral Measures of Risk
Squared Bessel Processes
Static Hedging
Stochastic Control
Stochastic Control in Insurance
Stochastic Differential Equations with Jumps: Simulation
Stochastic Differential Equations: Scenario Simulation
Stochastic Discount Factors
Stochastic Exponential
Stochastic Integrals
Stochastic Mesh Method
Stochastic Taylor Expansions
Stochastic Volatility Interest Rate Models
Stochastic Volatility Models
Stochastic Volatility Models: Extremal Behavior
Stochastic Volatility Models: Foreign Exchange
Stock Pinning
Stress Testing
Structural Default Risk Models
Structured Finance Rating Methodologies
Style Analysis
Stylized Properties of Asset Returns
Superhedging
Swap Market Models
Swaps
Swing Options

Tempered Stable Process
Term Structure Models
Thorp, Edward
Tikhonov Regularization
Time Change
Time-changed Lévy Process
Top-down Approach (to Credit Portfolio Derivatives)
Total Return Swap
Transaction Costs
Tree Methods
Treynor, Lawrence Jack
Trigger Swaps

Uncertain Volatility Model
Universal Portfolios
Utility Function
Utility Indifference Valuation
Utility Theory: Historical Perspectives

Value at Risk
Vanna--Volga Pricing
Variance-gamma Model
Variance Reduction
Variance Swap
Volatility
Volatility Index Options
Volatility Swaps
Volume-weighted Average Price (VWAP)

Wavelet Galerkin Method
Weather Derivatives
Weighted Monte Carlo
Weighted Variance Swap
Wiener--Hopf Decomposition

Yield Curve Construction