Index...........................................................
admissible
- portfolio 5
- strategy 79, 88
American - call option 147
- derivative security 183
- put option 147
amortised loan 30
annuity 29
arbitrage 7
at the money 169
attainable - portfolio 107
- set 107
basis
- of a forward contract 128
- of a futures contract 140
basis point 218
bear spread 208
beta factor 121
binomial - distribution 57, 180
- tree model 7, 55, 81, 174, 238
Black–Derman–Toy model 260
Black–Scholes - equation 198
- formula 188
bond - at par 42, 249
- callable 255
- face value 39
- fixed-coupon 255
- floating-coupon 255
- maturity date 39
- stripped 230
- unit 39
- with coupons 41
- zero-coupon 39
Brownian motion 69
bull spread 208
butterfly 208 - reversed 209
call option 13, 181- American 147
- European 147, 188
callable bond 255
cap 258
Capital Asset Pricing Model 118
capital market line 118
caplet 258
CAPM 118
Central Limit Theorem 70
characteristic line 120
compounding - continuous 32
–discrete 25
–equivalent 36
–periodic 25 - preferable 36
conditional expectation 62
contingent claim 18, 85, 148 - American 183
- European 173
continuous compounding 32
continuous time limit 66
correlation coefficient 99
coupon bond 41
coupon rate 249
307