Index

adaptive expectation
11.3
American option price
9.2
AR(1) process
11.1
arbitrage opportunity
3.1
arbitrage relations
3.1
ARCH
11.2 | 13. | 15.
semi-strong ARCH
13.1.1
strong ARCH
13.1.1
weak ARCH
13.1.1
ARCH model
ARCH-M model
13.2.3
EGARCH model
13.2.1
QTARCH model
13.2.2
TARCH model
13.2.2
TGARCH model
13.2.2
ARCH(1) process
18.4
ARCH-M model
13.2.3
ARIMA
11.3 | 12.
ARMA
12.3 | 13.1.5
ARMA process
18.4
at the money
3.1
autocorrelation function (ACF)
11.1
autocovariance function
11.1
autoregressive process
12.2
average excess function
18.1 | 18.1
average excess plot
18.2
Bera-Jarque (BJ) test
11.2 | 11.2
binomial model
8.
binomial process
5.1
Black-Scholes
7.1
Black-Scholes model
7.1 | 11.4.4
equation
7.1
Formulae
7.2 | 7.2
Block method
18.4
bond
2. | 10.2
discount bond
2.
zero bond
3.1
zero coupon bond
2.
bond option
10.2
Bretton Woods system
13.1
Brownian motion
6.1
geometric Brownian motion
7.1
capital asset pricing model (CAPM)
11.4.1 | 11.4.5 | 13.2.3
cash flow
7.1
coherent risk measure
18.3
conditional cdf
11.1
conditional expectation
4.5
conditional probability
4.5
contingent claim
2.
continuous costs
3.1
correlation
4.4
covered position
7.3
Cox-Ingersoll-Ross Model
11.4.3
Cox-Ross-Rubinstein model (CRR)
8.1
credit rating
21.2
cumulative probability distribution
4.1
DAX option
15.3 | 20.1
delivery price
2.
delta
7.3.1
delta hedge process
3.2
delta neutral position
7.3.1
Delta-Normal Model
16.1
derivative
2.
derivative security
2.
Dickey-Fuller test
11.6.1
distribution
4.1
drift
5.1 | 6.3 | 7.1
duplicating portfolio
3.1 | 7.1
dynamic strategy
3.2
efficient markets
11.3
semi-strong efficient
11.3
strong efficient
11.3
weak efficient
11.3
EGARCH model
13.2.1
EMA
16.1
empirical average excess function
18.2
equivalent martingale measure
15.1
exceedance probability
18.1
excess distribution
18.1
expectation
4.2
expected shortfall
16.2 | 18.3
expiration date
2.
exposure
16.1
extremal index
18.4
extreme value distriubtions
18.1
face value
2.
factor loading
20.2
fair game
11.1
Fisher-Tippett theorem
18.1 | 18.4
flexible volatility estimators
15.
floor
3.2
forward contract
2. | 3.1
forward price
2. | 3.1
Fréchet distribution
18.1
Fréchet-Hoeffding lower bound
17.1
Fréchet-Hoeffding upper bound
17.1
future
3.1
future contract
2. | 3.1
future price
2.
gamma
7.3.2
GARCH
13.1
generalized error distribution
13.2.1
generalized Pareto distribution
18.1
geometric Brownian motion
11.4.5
GEV distribution
18.1
GLM
21.1
GP distribution
18.1
GPLM
21.2
Gumbel distribution
18.1
hedge
7.3
delta
7.3.1
dynamic hedge
7.3.1
gamma
7.3.2
hedge ratio
7.3.1
hedging
3.2
Hill estimator
18.2.2 | 18.2.2
Hill quantile estimator
18.2.2
implied volatility
20.
in the money
3.1
independence
4.4
independent increments
5.3
integrated process
12.
interest rate parity
11.4.2
intrinsic value
3.1
Itô integral
6.2
Itôs lemma
6.5
KPSS test
11.6.2
kurtosis
4.3 | 13.1.5
lag operator
11.1
leptokurtic
11.2
leverage effect
15.1
likelihood function
12.8 | 13.1.2
linear Process
12.
linearly separable
19.1
log return
11.1
logistic regression
21.1
lognormal distribution
4.1
long position
2. | 2.
long Straddle
20.4
LP method
14.1
marginal distribution
4.4
market efficiency
11.3
market price of risk
10.2.3 | 11.4.5 | 11.4.5
market risk
3.2
Markov chain
13.2.2
Markov process
11.1
Martingale
11.1
martingale difference
11.1
maturity
2.
max-stable distribution
18.1
maximum Domain of Attraction
18.1
maximum loss
20.4
mean function
11.1
mean reversion
11.4.3
moment generating function
12.5
moneyness
15.2 | 20.
Monte Carlo study
15.2
moving average processes
12.1
naked position
7.3
news impact curve
15. | 15.1 | 15.1
news impact function
15.1
normal distribution
4.1
option
2. | 3.1 | 3.1 | 3.2
American call option
2.
American option
9.
American put option
2.
Asian option
10.1.4
average strike option
10.1.4
barrier option
10.1.3
chooser option
10.1.2
compound option
10.1.1
European call option
2.
European option
7.2
European put option
2.
exotic option
2. | 10.
knock-out option
10.1.3
lookback option
10.1.5
option on option
10.1.1
option price
2.
option prime
2.
path dependent Option
10.1.4
plain vanilla option
2.
option management
3.
option price
7.2
order statistics
18.2
OTC-derivative
2.
out of the money
3.1
Pareto distribution
18.1
Pareto tails
18.1
partial autocorrelation
12.4
payoff
2.
perfect financial market
3.1
persistence
15.2 | 15.3
platykurtic
11.2
portfolio
2.
duplicating portfolio
7.1
hedge portfolio
7.1
Portmanteau statistic
12.6
POT estimator
18.2.1 | 18.3
POT method
18.2.1
POT quantile estimator
18.2.1
probability
4.1
probability density
4.1
purchasing power parity (PPP)
11.4.2
put-call parity
3.1
QTARCH model
13.2.2
quantile
18.1
quantile function
18.1
quantile plot
18.2
random variable
Bernoulli distributed
4.1
binomially distributed
4.1
random vector
4.4
random walk
5.1 | 11.1
binomial random walk
5.4
general random walk
5.3
geometric random walk
5.4
hypothesis
11.5
ordinary random walk
5.1
symmetric ordinary random walk
5.1
RAROC
16.4
rating
21.
rational expectation
RE equilibrium
11.3
re-balancing
7.3.1
rho
7.3.3
risk factors
20.4
risk neutral valuation
15.2
RMA
16.1
short rate
2. | 11.4.3
short selling
2.
short Straddle
20.4
simple return
11.1
skewness
4.3
smile
14.2 | 20.
spot price
2.
spot rate
10.2.2
standard normal distribution
4.1
static strategy
3.2
stationary
11.1
stochastic differential equation
6. | 6.3
stochastic integral
6.
stochastic process
6. | 11.1
cdf
11.1
discrete time
5.
stock
3.1
stock price tree
8.
stop-loss strategy
7.3
straddle
2.
strict stationarity
13.1.2
tail exponents
18.2.2
TARCH model
13.2.2
TGARCH model
13.2.2
theta
7.3.2
threshold ARCH model
13.2.2
generalized TARCH model
13.2.2
qualitative TARCH model
13.2.2
trend
5.1 | 6.3
trinomial model
9.2
trinomial process
5.2
unit root
11.6.1
unit root tests
11.6
Value at Risk
16.1 | 18.3 | 20.4
value DAX calls
15.3
valuing options
15. | 15.1
VaR
16.1 | 18.3
variance
4.2
VDAX
20.1
VDAX dynamics
20.2
VDAX subindex
20.1
vec specification
13.3.1
vega
7.3.3
Vega position
20.4
volatility
7.1 | 13. | 15.
historical volatility
7.3.4 | 7.3.4
implied volatility
7.3.4 | 7.3.4
volatility index
20.1
volatility smile
20.
volatility surface
20.
volatility's dynamics
20.
Weibull distribution
18.1
white noise
11.1
Wiener process
6. | 6.1
generalized Wiener process
6.3
yield to maturity
11.4.3
Yule-Walker equation
12.2
zero bond
10.2
zero bond's value equation
10.2.3