The Mathematics of Financial Modelingand Investment Management

Frontmatter Page xx Monday, March 8, 2004 10:06 AM

Abbreviations and Acronyms

ABS asset-backed securities

ADF augmented Dickey-Fuller

a.e. almost everywhere

AIC Akaike information criterion

AMEX American Stock Exchange

APT asset pricing theory

AR auto regressive

ARCH autoregressive conditional heteroschedastic

ARDL auto regressive distributed lag

ARIMA auto regressive integrated moving average

ARMA auto regressive moving average

a.s. almost surely

ASE American Stock Exchange

BET bond equivalent yield

BGM Brace-Gatarek-Musiela model

BIC Bayesian information criterion

CAPM capital asset pricing model

C(CAPM) conditional capital asset pricing model

CD certificate of deposit

CFM cash flow matching

CFTC Commodity Futures Trading Commission

CLT central limit theorem

CML capital market line

CrVaR credit risk value-at-risk

CvaR conditional value-at-risk

DAX Geman stock index

d.f (cumulative) distribution functions

DF Dickey-Fuller

DGP data generation process

DJIA Dow Jones Industrial Average

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