The Mathematics of Financial Modelingand Investment Management

Index Page 764 Wednesday, February 4, 2004 1:13 PM

764 Index

Fabozzi (Cont.)

(ed.), 494, 497, 500, 503–508,

532, 551, 552, 557, 558,

582, 583, 586, 588. 590,

593, 610, 632, 633, 649–

652, 656, 657, 662–664

Face value, 52

owning, 686

Factiva, usage, 17

Factor variance-covariance matrix,

values, 577

Factors, 87, 336. See also Abstract

factors; Exogenous factors

analysis, 338

determination, 532–537

market, 21

models, 286, 335–338

realizations, 654

Falconer, J., 385

Fama, Eugene F., 31, 85–86, 326,

344, 481, 519, 520, 523

Fat tails, 258, 351–353

evidence. See Financial vari-

ables

Fat-tailed distributions, 232, 351,

353–358

generation, 383

Fat-tailed IID sequences, 380

Fat-tailed innovations, 382

FEA (firm), 12

Feasible basic solution, 209

Feasible region, determination, 207

Feasible set, 473

Federal Reserve (Fed), Board of

Governors, 50

Feldman, R.E., 355, 389

Feynman-Kac formula, 627–632

application, 631

extension, 634, 640

Filter rules, 571

Filtration, 182–184

concept, 225–226

usage, 226

Finance, extreme value theory

(applicability), 391–392

Finance theory, probabilistic

theory, 181

Financial assets, 21–24

creation, assistance, 35

illiquidity, impact, 24

issuers, 37

overview, 21

tax status, 24

transformation, 35

Financial businesses, 34–35

Financial decision-making appli-

cations, automation, 18

Financial econometrics, 283, 315, 518

models, 259

Financial engineering, history, 10

Financial futures, 57

Financial instrument, 57

Financial intermediaries

function, 35

liabilities, issuance, 36

role, 35–37

Financial markets, 21, 25–34

buyers/sellers, interaction, 26

classification, 25–26

economic functions, 26–27

futures, role, 63–64

overview, 21

probabilistic representation,

180–181

Financial modeling, milestones, 75

Financial models, 17

Financial obligation, 51

Financial optimization, 744

Financial theory, connection, 539

Financial time series

linear models, 324

nonstationary models, 345–348

relationship. See Cointegration

stylized facts, 286–288

Financial variables

fat tails, evidence, 388–390

prima facie trends, 287

Finite difference method, 249–256

Finite variation, 105–106

Finite-dimension distributions,

set, 458

Finite-dimensional distributions,

284, 739

Finite-state models, 393

Finite-state probability, 417

Finite-state setting, 403

arbitrage pricing. See Multi-

period finite-state setting

Finite-variance case, 382

Finite-variance random vari-

able, 452, 463

Firm size factor, 520

Firm-value models, 684

First boundary value problem, 260

First Crusade (1095-1099), 10

First derivative, application, 113–115

First-order conditions. See Port-

folios

First-order immunization condi-

tions, 672

First-order linear equation, 250

First-to-default basket, 718–719

price, 725, 727

swap, 681

Fischer, S., 334

Fisher, L., 667

Fisher information matrix, 320,

322

Fisher score function, 322

Fisher-Tippett theorem, 364

Fixed income instruments, 22

Fixed income market, 25

Fixed-income portfolio manage-

ment, 8

Fixed-income trading, calibra-

tion, 698, 699

Floating point operations per

second (flops), 11

Floating-rate CD, 39

Floating-rate securities, 53

Floors, 54, 70–71

agreements, 26

Focardi, Sergio, 13, 15

Fokker-Planck equation, 628–

629

Fong, Gifford, 507

Fons, Jerome, 690

Foreign stocks. See Non-U.S.

foreign stocks

developing/emerging, 4

Forni, M., 334

Forward contracts, 26, 57–64

contrast. See Futures contracts

Forward curve. See Default

probability

Forward default probability, 712–

713

Forward Kolmogorov equation,

628–629

Forward LIBOR interest rate, 644

Forward operator (F), 289–290

Forward rates, 607–608

continuous case, 625–626

curve. See Short-term for-

ward rates

Forward-looking tracking errors,

558, 651, 661–662

contrast. See Backward-look-

ing tracking errors

Fourier integrals, 262

Fourier transforms, 134, 137–

138. See also Densities;
     Inverse Fourier transform
     Foward default probability, 701–
     702
     Fractals, 258–259
     dimension, 2231
     Fractional Brownian motion, 387
     Fractional recovery model, 706
     Frank Russell Company, 48, 563
     1000 index, 95–96, 561, 563
     2000 index, 48, 94, 561, 563
     2500 index, 561
     3000 index, 48, 94, 95, 561
     Midcap Index, 94
     stock indexes, 46
     Top 200 index, 561
     Frechet distribution, 362–363,
     365, 367
     MDA, 366
     French, Kenneth R., 344, 520, 523
     Frictions, 83
     Friedman, Milton, 444
     Friend, Irwin, 436
     Functions, 100–101. See also
     Cadlag functions; Com-
     posite function; Continu-
     ous function; Copula
     functions; Distributions;
     Inverse function; Regres-
     sion function
     derivative, 91