Index Page 775 Wednesday, February 4, 2004 1:13 PM
Index 775Smith, Adam, 77, 83
Smith, Adrian F.M., 316
Smith, R.L., 375
Sochacki, James, 635
Software
development, 16
optimization packages, 212
Solutions, stability, 256–258
Solvers, usage, 206
Sopranzetti, Ben J., 722, 724
Sorbonne University, 78
Sornette, D., 331, 390, 492
Sortino, Frank, 751
Souma, W., 388
Sovereign risk, 611
Spacings, 369
Spanos, A., 531
Specialized bond market indexes,
649
Specific risk, 578, 582
Speculator, expectation, 79
Splines, 643
Spot interest rates, 625
Spot rates, 623
continuous case, 624–625
curve. See Theoretical spot
rate curve
construction. See Continu-
ous spot rate curve
obtaining, Treasury yield
curve (usage), 603–605
usage. See Bonds
Spread-based diffusion models, 710
Square integral, 223
Square matrices, 145–148, 160.
See also Symmetric square
matrix
Srom, S., 342
Stability of solutions. See Solu-
tions
Stable distributions, 360–362
Stable inverse Gaussian distri-
butions, 361
Stable laws, 351–362, 366
application, 390
Standard & Poor’s (S&P)
classification, 536
Composite Index, 561
Standard & Poor’s (S&P) 500,
70, 94–95, 332
application, 345
Composite, 46–47
index, 497–498, 521, 561
matching, 587
Standard Brownian motion,
447–448, 453. See also
Single-valued standard
Brownian motion
correlation, 741
drift, addition, 459
equivalent martingale mea-
sure, 627, 639
Standard extreme value distri-
butions, 365Standard form, transformation,
207
Standard Generalized Extreme
Value Distribution, 368
Standard normal distribution,
194
Standard notation, 109
Stanley, H. Eugene, 390, 522
Starica, C., 385
State price deflator, 400, 404–
405, 454
computation, 409, 413
definition, 456
existence, 467
linear combination, 434
representation, 408
usage, 457, 465
yield, 410
State prices, 397–398
equivalent Martingale mea-
sures, usage, 464–466
vector, 397
normalization, 398
States, real probabilities, 425
State-space cointegration, 342
State-space modeling, 12, 309,
342
linear form, 384
State-space models, 286, 288,
305, 379
equivalence, 541
estimation, 538
State-space representation, 305–
309
equivalence, 308–309
State-space system, 308
Static replication, 710
Static-factor model, 543
Stationarity, condition, 292
Stationary disturbance, 341, 342
Stationary IID sequence, 268
Stationary increments (sssi), 387
Stationary multivariate ARMA
models, 301–304
Stationary processes. See Autore-
gressive moving average
Stationary sequence. See
Asymptotically self-simi-
lar stationary sequence
Stationary series. See Difference
stationary series; Multi-
variate stationary series;
Trend stationary series
Wold representation, 296
Stationary time series, 285
Stationary univariate ARMA
models, 297–300
Stationary univariate moving
average, 292–293
Stationary VAR model, 539
Statistical arbitrage, 575–577
Statistical nonlinear pattern rec-
ognition, 574
Statutory surplus, 40
Stegun, Irene A., 249Stepup notes, 54–55. See also
Multiple stepup note;
Single stepup note
Stigler, George, 29, 30
Stochastic calculus, 93
Stochastic differential equation
(SDE), 217, 240, 267,
274–276. See also
Brownian motion; Geo-
metric Brownian motion
association, 630
definition, 270–271
intuition, 268–271
solution, 278–282
Stochastic discount function, 494
Stochastic environment, 218
Stochastic general equilibrium
theory, 86
Stochastic hazard rate, need, 716
Stochastic integrals, 217
defining. See Processes
definition, 221, 223, 232–- See also Elemen-
tary functions
intuition, 219–224
properties. See Ito stochastic
integrals
Stochastic integration, 217
Stochastic optimization. See
Multiperiod stochastic
optimization
Stochastic processes, 178–180
adaptation, 183
realization, 217
vector, 277
Stochastic programming, 202,
213–215, 673–677. See
also Multistage stochas-
tic programming
Stochastic recovery, 703
Stochastic trend, 310
Stochastic variables, 32, 85
Stochastic volatility models, 12,
740–742
Stock, James H., 334, 540, 543
Stock market, 25
index, risk control, 587
indicators, 46–48
short-term movements, 572
Stock price
binomial model, 424
decreases, 287
nonnegative numbers, 395
position, 686
processes, 447–448
Stocks
cointegrated pairs, searching,
576–577
indexes, types, 93–94
intrinsic value, 567
positions, hedging, 743
returns, distribution, 287
Stop-limit order, 48–49
Stopping time, 429
Stork, David G., 562