The Mathematics of Financial Modelingand Investment Management

Frontmatter Page xxi Monday, March 8, 2004 10:06 AM

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Abbreviations and Acronyms

EAFE Index Europe, Australia, and Far East Index

EC error correction

ECM error correction model

ECN electronic communication network

EM expectation maximization

ERISA Employee Retirement Income Security Act

ES expected shortfall

ESR expected shortfall risk

EVT extreme value theory

FLOPS floating point operations per second

GAAP generally accepted accounting principles

GARCH generalized autoregressive conditional heteroschedastic

GET general equilibrium theory

GEV generalized extreme value

GMM generalized method of moments

GNP gross national product

HFD high frequency data

HJM Heath, Jarrow, Morton model

IC information criteria

IGRACH integrated GARCH

IID independent and identically distributed

IIN independent identically normal

IN independent normal

IR information ratio

ISO International Standards Organization

lag operator

LIBOR London Interbank Offered Rate

LLN law of large numbers

LP linear program, linear programming

MA moving average

MDA maximum domain of attraction

MBS mortgage-backed securities

MIP mixed integer programming

ML maximum likelihood

MLE maximum likelihood estimator

MPT modern portfolio theory

MSCI Morgan Stanley Composite Index