Index

Asian option
16.1.3
BiGARCH
10.
Brownian bridge
16.2.4
Copula
2.
credit portfolio model
5.
discrepancy
16.2.1
EGARCH
17.
Empirical Likelihood
12.
equicorrelation
4.1.3
GARCH model
17.
exponential
17.
integrated
17.
threshold
17.
GARCH process
nonparametric estimates
see NPGARCH
Halton, sequence
16.2.3
HiSim
3.
IBT
7.
Idiosyncratic Bond Risk
see HiSim
IGARCH
17.
Implied Binomial Trees
see IBT
implied volatilities
6.
Koksma-Hlawka theorem
16.2.2
Markov chain
4. | 4. | 4.3.1
bootstrapping
4.3.2
mcopt
16.
migration
correlation
4.1.3 | 4.1.3
counts
4.1.1
events
4.1.1
probability
see transition probability
rates
4.1.2
model
Implied Binomial Trees
see IBT
multivariate volatility
see BiGARCH
State-Price Densities
see XFGSPD
VaR
see XFGVAR
Monte Carlo option pricing
see option pricing
multi-period transitions
4.3
Multivariate Volatility Models
see BiGARCH
nonparametric estimates of GARCH processes
see NPGARCH
NPGARCH
17.
option pricing
Monte Carlo option pricing
see mcopt
portfolio
composition
4.1.2
migration
4.3.5
weights
4.3.5
Quasi Monte Carlo simulation
16.2
randomized algorithm
16.1.1
rating
4.
migrations
4.
dependence
4.1.3
independence
4.1.2
transition probability
see transition probability
risk horizon
4.1.1
risk neutral model
16.1.2
RiskMetrics
17.
SPC
11.
spreadsheet
18.
star-discrepancy
16.2.1
State-Price Densities
see XFGSPD
statistical process control
see SPC
TGARCH
17.
threshold normal model
4.1.3
time homogeneity
15.1
transition matrix
4.
transition probability
4. | 4.1.2
chi-square test
4.2.2
estimator
4.1.2
simultaneous
4.1.3
standard deviation
4.1.2 | 4.1.3
test of homogeneity
4.2.2
time-stability
4.2
Value at Risk
see XFGVAR
Value-at-Risk
2. | 17.
VaR
17.
volatility
15.
XFGSPD
8.
XFGVAR
1.