Index Page 774 Wednesday, February 4, 2004 1:13 PM
774 IndexRisk-free borrowing, 447
Risk-free coupon bond, 713
Risk-free discount factor, 698
Risk-free profit, 449
Risk-free short-term continuously
compounding interest rate,
455
RiskMetrics Group, 745, 748
RiskMetrics model, 748
Risk-neutral methodology, 717
Risk-neutral pricing, scope, 716
Risk-neutral probabilities, 398–
399, 416–423. See also
Binomial models
computation, 401–402, 426
determination, 416
examples, 420–423
existence, 712
expectation, 640
martingale relationship, 627
measure, 625
usage, 428
Risk-of-loss analysis, 507
Risk-premium form, 519
Risk-return
profile, 744
symmetricality, 59
trade-off, 473, 501, 538
determinant, 737
optimization, 86
Risk/reward relationship. See
Symmetric risk/reward
relationship
Risky asset, shorting, 426
Risky debt, decomposition, 686
r-minors, 149
Robins, R., 548
Robinson, Abraham, 107
Rockafeller, Tyrrell R., 749
Roll, Richard R., 87, 335, 436,
519–521
Ron, Uri, 610
Rosenberg, Barr, 525, 574
Rosenow, Bernd, 522
Ross, Stephen A., 88–89, 335,
435, 436, 616, 637, 709.
See also Cox-Ingersoll-
Ross Model
Round-trip cost, 23–24
Round-trip transaction cost, 63
Row rank, 53
Row vectors, 142
Rubin, D.B., 348
Rubinstein, Mark, 69
Runge-Kutta method, 252
Russell. See Frank Russell Com-
pany
Saddle point, 203
Salomon Smith Barney Broad
Investment-Grade Bond
Index, 649
Samorodnitsky, G., 387
Samuelson, Paul A., 85–86, 326Sargent, T.J., 334
Savings & loan (S&L) associa-
tions, 43
Scalar product, 155, 336, 397
Scalars, 141
Scale, absence, 385
Scaling, 351–362, 385–388
laws, presence, 389
property, 386
power-law distribution, 386
Scenario
generation, 674–675
optimization, 672–673
Scenario-dependent constraints, 673
Schachermayer, W., 467
Schafer, G., 168
Scheduled termination date, 680
Scheinkman, J.A., 259
Scholes, Myron S., 69, 76, 89–
90, 451, 519, 684. See
also Black-Scholes-Mer-
ton Model
School of Copenhagen, 444
Schrodinger’s cat, 243
Schuermann, Til, 378
Schwartz, Eduardo S., 638, 695
Schwartz, Gideon, 318
Schwartz, Robert A., 30
Search costs, 26
Second derivative, application,
118–120
Second order approximation, 122
Secondary markets, 25, 27–34
Second-order derivative, 111–112
Second-order equations, 250–251
Second-order immunization con-
ditions, 672
Second-to-default basket swap, 682
Sector risk, 653, 658
Sector specific effect, 722
Securities. See Floating-rate securi-
ties; Redundant securities
analysis, 567
margin, 63
performance, 34
price, 31
difference, 33
underwriting, 35
Securities Exchange Act of 1934,
49–50
Security market line (SML), 516–518
Segmentation theory. See Mar-
kets
Self-financing conditions, 215, 677
Self-financing trading strategy,
445, 448–451
creation, 452
definition, 466
Self-similarity, 258, 351, 385–388
Semiautomated investment pro-
cesses, 324
Semistrong efficiency, 32
Senior basket credit default
swaps, 681–683Senior basket default swaps, 682
Separable variables, 246
Separating Hyperplane Theo-
rem, 398
Sequence, definition, 101
Sets, 93–96. See also Empty
sets; Proper subsets
elementary properties, 96
intersection, 95–96
operations, 93–96
union, 95
Settlement date, 57–58. See also
Futures contracts
Sharpe, William F., 75, 82, 86–
87, 334, 477, 512, 516,
524, 750
Shefrin, Hersh, 502
Shin, Yongcheol, 342, 540
Short interest ratio, 572
Short selling, 49, 393
Short-run price stability, 30
Short-term debt obligations,
investment, 614
Short-term financial assets, 25
Short-term fluctuations, 744
Short-term forward rates
behavior, 613
curve, 608
Short-term interest rate, 112, 632
function, 624
process, 627
Short-term rate. See Variable
short-term rates
constancy, 614, 621
function, 620
Short-term risk-free borrowing, 415
Short-term risk-free interest rate,
68
Short-term securities, 671
Shreve, Steven E., 275, 625
Sigman, K., 354, 356
Similarity. See Diagonalization/
similarity
Simon, Herbert, 315
Simplex algorithm, 208–210
Simplex method, 208, 210
Single period immunization, 667
Single stepup note, 55
Single-name credit default swaps,
680
pricing, 710–718
framework, 711–712
Singleton, Kenneth J., 334, 685,
696, 706, 729. See also
Duffie-Singleton Model
Single-valued standard Brown-
ian motion, 459
Singular value decomposition, 162
Skew-symmetric matrix, 147
Sklar, A., 189
Slack variable, 208
Slowly varying function, 357
Small Cap 600 Index, 561
Small capitalization stocks, 3