Index Page 760 Wednesday, February 4, 2004 1:13 PM
760 IndexCauchy initial value problem,
260, 263
Causal autoregressive represen -
tation, 299
Causal time series, 289
Cell matching, 650
Cellular method, 564
Central auction specialist sys -
tems, 45–46
Central limit theorem, 358–360
Cerchi, Marlene, 574
Certificate of deposit (CD), 38.
See also Fixed-rate CD;
Floating-rate CD
issuance, 43
Chain rule, 109. See also Inte -
gration
application, 115–118
Chaitin, Gregory J., 318
Change, instantaneous rate, 91
Chaos, 256–259. See also Non -
linear dynamics
characteristics, 257–258
Characteristic equation, 161,- See also Inverse
characteristic equation
Characteristic function. See
Variables
Characteristic line, 517
estimation, 518
Characteristic polynomial, 161
Chartists, 571
Cheapest to deliver
asset, 63
concept, 681
Chen, Nai-Fu, 436
Chen, Ren-Raw, 679, 695, 700,
701, 710, 711, 714, 722,
724, 734
Chobanov, G., 389
Choudhry, Moorad, 632, 633,
679, 695, 710, 714, 734
Chow, Yuan Shih, 174, 193
Christensen, Peter F., 664, 667
Cizeau, P., 329
Claims. See Seasoned claims
contrast, 25
maturity, 25
Clark, P.K., 383
Classical economic theories. See
Term structure
Clean price, 53
Clearinghouse
association, 59
purpose, 57–58
Client-designated benchmark, 40
Client-imposed constraints, 5
Closed-end funds, sale, 42–43
Closed-form solutions, 693, - See also Ordinary
differential equations
Clustering, 562
Coefficient matrix, 150
rank, 400
Coefficient of determination.
See Determination
Coefficients, restrictions (absence),
296
Coherent risk measure, 749
Cointegrated indexes, search -
ing, 577
Cointegrated models, 286
Cointegrated systems, estima-
tion/testing, 543–544
Cointegration, 12, 339–345.
See also Index; Polyno-
mial cointegration; State-
space cointegration
approach. See Dynamic Coin-
tegration Approach
definition, 341
empirical evidence. See Equity
equivalence, 541
evidence, 545. See also Assets
financial time series, relation -
ship, 544–546
Cointegration-based strategies, 574
Collective risk problem, 80
Collins, Bruce M., 33
Colored noise, 379
Column rank, 151–153
Column vectors, 142
Commercial mortgages, 653
Commissions, 33. See also Bro -
kers
Commodity, price, 53–54
Commodity futures, 57
Commodity Futures Trading Com -
mission (CFTC), 57, 65
Common factor risks, 578
Common risks, 582
Common stocks, 3, 21, 42, 45–- See also Non-U.S.
common stocks
common trends, multifactor
models (usage), 529
institutional investors, 50–51
orders, types, 48–49
trading
arrangements, 48–51
locations, 45–46
Common trends, 341, 344. See
also n-r common trends
searching, 577
Common-trend cointegrated model,
543
Company specific effect, 722
Company-specific risk, 515
Complete markets, 399–402
equivalent Martingale mea-
sures, usage, 463
Complex matrix, 145
Complex numbers, definition, 143
Component zero-coupon instru -
ments, total value, 603
Composite function, 101, 109,
129
Compound option, 690–691
model. See Geske compound
option model
Compound return, 325
Computer-based optimization
theory, 82
Computer-generated indepen -
dent arithmetic random
walks, 544
Computers, price-performance
ratio, 11–12
Conditional CAPM, 511, 523–524
Conditional default probability, 701
Conditional distributions, 284
Conditional expectation, 184–
186, 197, 630
Conditional order, 48
Conditional probability, 184–186
definition, 78–79
Conditional VaR (CVaR), 749
Consensus investors, 566
Constant interest rates, convexity,
120
Constant terms, 150
Constrained optimization prob -
lem, 476
Consumption
CAPM, 511
infinite stream, 493
process, 404
Continuity, 103–105
Continuous cash flow
rate, 620
stream, 622
present value, 640
Continuous compounding, 112–
113
Continuous function, 103–104.
See also Discontinuous
function; Left continuous
function; Right continu-
ous function
Continuous quantities, 99
Continuous spot rate curve,
construction, 605
Continuous time. See Bonds;
Interest rates
arbitrage principle, 441–445
usage, 608
Continuous time-path, 223
Continuous trading, 443
Continuously compounding con -
stant interest rate, convex -
ity, 120
Continuous-state arbitrage pric -
ing, development, 430
Continuous-state continuous-time
arbitrage pricing, 445–446
models, 441
Continuous-state setting, 430, 442
Radon-Nikodym derivative,
usage, 465
Continuous-time finance, 445
Continuous-time Markov pro -
cess, 79