Index Page 759 Wednesday, February 4, 2004 1:13 PM
Index 759Bond equivalent yield (BEY),
597, 608
Bond valuation. See Cash flow
equation, 122
formulas, 112–113
continuous time, 618–623
option valuation, relation-
ship, 626–627
Bondholders, options, 56
Bonds, 21, 51–56
agreed-upon price, 53
analysis, application, 112–
120, 122–126
arbitrage-free value, spot rates
(usage), 606
convexity measure, 125
coupon rate, 52–55
market index, contrast. See
Management
maturity, 51–52
options, term structure mod-
eling/valuation, 593
par value, 52
payment provisions, 55–56
portfolio
management, 40, 122, 649
optimization, 674
strategies, relationship. See
Tracking errors
prices, observation, 701
pricing equation, 643
refunding, 56
risk-free nature, 453
term structure modeling/valu-
ation, 593
term to maturity, 51
yield to value (usage), limita -
tions, 602–603
Book/market factor, 520
Book/price ratios, 532
Bootstrapping, 603
approach, 377
Borel algebra, 175
Borel sets, 170. See also n-
dimensional Borel sets
Bossaerts, Peter, 539, 574
Bottom-up approaches. See
Active investing
Boudhaud, J.-P., 329
Boundary conditions, 454
Boundary values, 254
Bounded elementary function,
233–234
Bounded variation, 105–106, 129
Box algebra, 273
Box-Jenkins methodology, 318
Brace, Alan, 644
Brace-Gatarek-Musiela (BGM)
Model, 643–644
Brennan, Michael J., 638
Brinson, Gary L., 494
Briys, Eric, 695
Broad-based bond market indexes,
649
Brock, W., 574Brock, W.A., 258, 259
Brokers
commissions, 28, 83
function, 29
loan rate, 49
role. See Real markets
Bromwich integral, 135
Brownian motion, 221, 227. See
also Arithmetic Brown -
ian motion; Fractional
Brownian motion; Geo -
metric Brownian motion
binomial approximation, 675
correlation, 742
defining, 219
definition, 225–230
extremes, calculation, 79
filtration, 460
finite dimensional distribu -
tions, 179
functional, computation, 313
increments, 223
modifications, 628
paths, 230
properties, 230–232
stochastic differential equa -
tion, 628
usage, 455
Bryson, M.C., 353
Buetow, Jr., Gerald W., 635
Buffet, Warren, 567
Bullet maturity, 55
Burmeister, Edwin, 436
Burr distribution, 366
Businesses, classification, 34–35
Buy-and-hold strategy, 564
Cadlag functions, 227
Calculus. See Variations
fundamental theorem, 132–
133
principles, 91
usage. See Variables
Calculus of variations. See Vari-
ations
Call feature, 55
Call option, 686
buyer, 71
exercising, 55
price, 69
Call protection, 56
Callable bond, 55
value, 117
Campbell, John Y., 327, 344,
345, 574
Canonical Brownian motion, 229
Capital
expenditures, 45
structure, 84
Capital Asset Pricing Model
(CAPM), 86–87, 334,- See also Condi -
tional CAPM; Multifac -
tor CAPM
assumptions, 512–513
Black modifications, 521–522
empirical tests, findings, 520
Merton modifications, 521–
522
random matrices, relation -
ship, 522–523
role. See Investment
testing, 518–523
tests, critique, 520–521
usage, 478, 529, 684
Capital gains, taxes, 28, 83
Capital market, 25
transaction costs, 29
Capital market line (CML), 477–
482
derivation, 478–481
empirical analogue, deriva -
tion, 518–519
empirical implications, 519
equation, 518–519
risk premium, 482
usage, 484. See Optimal port -
folio
Capitalization (Cap), 54. See also
Markets
agreements, 26
approach, 564
portfolio, 558
stocks, 3
Caps, 70–71
Captive finance companies, 35
Captured value, 551
Cartesian space. See n-dimen-
sional Cartesian space
Cash
derivative instruments, con-
trast, 25
distribution. See Assets
equivalents, 3
instruments, 85
market price, 62–64
outlays, 395
descriptions, 38
payments, anticipation, 68
product, 711
reinvestment. See Excess cash
risk-free return, 559
Cash and carry trade. See Reverse
cash and carry trade
Cash flow
package, bond valuation, 603
predictability, 22, 24
present value, 604
production, 38
rate. See Continuous cash flow
reinvestment, 598–599
stream. See Continuous cash
flow
Cash flow matching (CFM), 664–
667
formulation, 665
framework, 669
Cash-settlement contracts, 57
Categorization variables, 563
Cauchy distribution, 366