- 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