Index Page 765 Wednesday, February 4, 2004 1:13 PM
Index 765Functions (Cont.)
domain, 100
indefinite integral, 132
primitive integral, 132
range, 100
Fundamental multifactor risk
model, 568
Fundamental solutions, 622
usage, 279
Future expected return, 7
Futures
price, 61. See also Theoretical
futures price
role. See Financial markets
Futures contracts, 57–64
forward contracts, contrast,
58–59
marked to market, 59
pricing, 59–63
risk/return characteristics, 59
settlement date, 58
theoretical price, 62
Fuzziness, concept, 92
GARCH. See Integrated GARCH
behavior, 574
method, 547
models, 12, 286, 288
results (set), availability, 385
usage, 345–347, 741
processes, 312, 382–383
Gatarek, Dariusz, 644. See also
Brace-Gatarek-Musiela
Model
Gaussian distribution, 194,
353, 355, 361. See also
Stable inverse Gaussian
distributions
exception, 362
Gaussian H-sssi process, 387
Gaussian processes, 387
Gaussian variables, 194–196
General equilibrium system, 77
General Equilibrium Theories
(GET), 511, 536
Generalized extreme value (GEV)
distributions, 368. See
also Standard General-
ized Extreme Value Distri-
bution
Generally accepted accounting
principles (GAAP), 6, 40
Generating function, 294
Geometric Brownian motion,
273–274, 280–282, 447–
449, 451
stochastic differential equa-
tion, 629
Geometric return, 98
Geometric-diffusion model, 741
Geske, Robert, 690
Geske compound option model,
690–694, 700
Geweke, J.F., 334
Ghysels, E., 383Girsanov theorem, 459–463, 687
application. See Black-Scholes
option pricing formula
Glivenko-Cantelli theorem, 370
Global equilibrium, 77
Global probabilistic framework.
See Portfolios
Global VAR model, 543
Globally equal expected-hold-
ing-period return theory,
616
Gobbout, Marie-Jose, 545
Goldberger, A.S., 334
Goldie, C.M., 355, 368
Gopikrishnan, Parameswaran,
390, 522
Gourieroux, Christian, 303,
317, 383
Government bonds. See U.S.
government bonds
issuance. See Repurchase agree-
ment
Government yield curves, com-
parisons, 611
Government-imposed transfer
fees, 28, 83
Graham, Benjamin, 567
Granger, C.W.J., 341, 540, 543
method. See Engle-Granger
method
Granger Representation Theo-
rem, 540
Greene, William H., 312
Green’s function, 263
Grinold, Richard, 568
Growth stocks, 3
Guaranteed interest rate, 667
Guhr, Thomas, 522
Gultekin, N. Bulent, 436
Gumbel distribution, 362–363, 365
MDA, 367–368
Gupta, Francis, 82, 494, 497,
500, 503–506
Hallin, M., 334
Hamilton, J.D., 347, 348
Hamilton models, 286, 347–348.
See also Markov switch-
ing Hamilton models
Hankel matrices, 152–153, 305, 308
Harrison, J. Michael, 89–90, 457
Havenner, Arthurf, 574309
Hazard rates, 730
calibration, 716
term structure, 731
He, Hua, 427, 740
Heart, Peter E., 562
Heath, David, 640, 709, 748
Heath-Jarrow-Morton (HJM)
Model, 640, 709. See
also Term structure
Heavy-tailed ARMA processes,
381–382
Heavy-tailed distributions, 352
Hedging, 89–90, 448–449Helwege, Jean, 690
Hendricks, Darryll, 754
Hendry, D.F., 317
Hessian determinant, 203–204
Hessian matrix, 203
Heuristic computational proce-
dures, 324
Higher order derivatives, 111–120
High-frequency data (HFD),
usage, 13
High-frequency data studies
(Olsen & Associates), 389
High-level text mining function-
ality, development, 16
High-risk active portfolio strat-
egies, 42
High-yield corporate bonds, 3
Hilburn, Robert C., 574
Hill estimator, 376–378
Hirtle, Beverly, 754
Historical risk premiums, 500
Ho, Thomas, 635
Ho-Lee Model, 635
Hommes, C., 259
Homogeneous expectations, 482
Homogeneous Poisson process, 371
Homogeneous system, 150
Hood, Randolph, 494
Hosking, J.R.M., 375
Hsieh, D., 258
Huang, Chi-Fu, 740
Huang, Jay, 695
Huang, Jinzhi, 700
Huang, Ming, 695
Hull, John, 636, 687, 711, 717
Hull-White Model, 635, 636
Hyman, Jay, 651, 652, 654,
656, 657, 662, 663
Identically distributed sequences,
191
Identity matrix, 146
IGARCH. See Integrated GARCH
Imaginary unit, 143
Immunization. See Multiple-
period immunization;
Portfolios; Single period
immunization
conditions. See First-order
immunization conditions;
Second-order immuniza-
tion conditions
constraints, 672
Imprecision, concept, 92
Improper integrals, 131–132
Incomplete markets, 739
Indefinite integrals, 131–132.
See also Functions
Independent and identically dis-
tributed (IID)
alpha-stable laws, 381
distributions, 379
framework. See Non-IID
framework