The Mathematics of Financial Modelingand Investment Management

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

xxii Abbreviations and Acronyms

MSCI-EM Morgan Stanley Composite Index-Emerging Markets

MSCI-EME Morgan Stanley Composite Index-Emerging Markets

Equity

M-V analysis mean-variance analysis

NASDAQ National Association of Securities Dealers Automated

Quotation System

NAV net asset value

NYSE New York Stock Exchange

ODE ordinary differential equation

OLS ordinary least squares

OTC over-the-counter

P/B price-to-book ratio

P&C property & casualty

PCA principal component analysis

PDE partial differential equation

pdf probability density function

QP quadratic program, quadratic programming

RAP regulatory accounting principles

RDF resource description framework

RMT random matrix theory

ROI return on investment

SDE stochastic differential equation

S&L savings & loan

S&P 500 Standard & Poor’s 500 Index

SML security market line

ss self similar

SSB BIG Index Salomon Smith Barney Broad Investment Grade Index

sssi self similar with stationary increments

UL unexpected loss

VaR value-at-risk

VAR vector auto regressive

VC theory Vapnik-Chervonenkis theory

VLCA Value Line Composite Average

XML eXtensible markup language