Index Page 767 Wednesday, February 4, 2004 1:13 PM
Index 767Investment management pro-
cess, 2–10
assets, selection, 7–9
investment
objectives, setting, 2
policy, establishing, 2–6
performance, measurement/
evaluation, 9–10
portfolio strategy, selection, 6–7
Investment-grade corporate bonds,
3
Investors, 22. See also Consen-
sus investors; Institu-
tional investors; Risk-
averse investors; Individ-
ual investors
risk-return preferences, 488
Invisible hand, 77
Irrational number, 98–99
Irrelevance theorems, 84–85
Isham, V., 371
ISMA Center, 545, 565
Issuer-specific risk, 653
Iterative technique. See New-
ton-Raphson iterative
technique
Itô, Kiyosi, 79, 221, 224, 269
Itô formula, 272. See also One-
dimensional Itô formula
application, 281–282
Itô lemma, 450, 461
application, 453, 462
usage, 641
Itô processes, 271–272, 449,- See also N-dimen-
sional Itô processes; Pos-
itive Itô process
definition, 269–270
discretization, 644–646
function, 671
reversibility, 629
Itô stochastic integrals, 223,
235–237
Jacobs, Bruce, 568, 569
Jagannathan, Ravi, 523
Jarrow, Robert A., 640, 684,
696, 698, 703, 709, 730.
See also Heath-Jarrow-
Morton Model
Jarrow-Turnbull Model, 698–
703, 730
calibration, 700–703
Jensen, Michaell C., 519
Jobst, Norbert J., 492
Johansen, A., 390
Johansen, S., 543
Johansen methodology, 543
Johnson, W.D., 748
Joint Bernoulli distribution,
722–724
Joint defaults
distribution, specification, 722–
728
modeling, common factors
(usage), 729–730
Joint density, 185, 192
Joint multivariate normal distri-
bution, 531
Joint multivariate probability
density function, 197
Joint Poisson process, 728–729
Jonas, Caroline, 13, 15
Jones, Frank J., 532, 556, 558,
582, 583, 586, 588, 590
Jordan, James V., 593, 616
Jordan measure, 130
JPMorgan, 746, 748
Jump process, 729–730
Jump-diffusion models, 740
Kahn, Ronald N., 568, 569
Kall, Peter, 202, 677
Kalman, R.E., 538
Kalman filter, 538
Kalotay, Andrew J., 637
Kalotay Williams and Fabozzi
(KWF) Model, 635, 637
Kanas, Angelos, 344, 546
Karasinski, Piotr, 637. See also
Black-Karasinski Model
Karatzas, Ioannis, 275
Kasa, Kenneth, 344, 545
Kaufmann, E., 377
k-dimensional vector, 306
Kesten, H., 383
Keynes, John Maynard, 81, 165
Kim, In-Moo, 543
Klüppelberg, Claudi, 80, 353,
355, 385, 388
Knock-in option, 695
Knockout options, 695
Kogelman, Stanley, 508
Kolmogorov, Andrei N., 166–
167, 318
Kolmogorov backward equa-
tion, 629
Kolmogorov extension theorem,
227–228
Konstantinovsky, Vadim, 651
Kotz, N.L., 353
Kouretas, Georgios P., 344, 546
Kreps, David M., 90, 457
Kritzman, Mark, 4
k-th moment, 186
kth upper order statistic, 369
Kuhn, Thomas, 315
Kunita, H., 221
Labys, P., 346
Lag operator (L), 289–292
Lagrange, 213
equation. See Euler-Lagrange
equation
multipliers, 204–206, 476
Laherre, J., 390
Laird, N.M., 348
Lakonishok, J., 574
Laloux, L., 329Lando, Daniel, 716
Lando, David, 697, 703
Lane, D.A., 380
Laplace, Pierre-Simon, 243
Laplace transform, 134–137. See
also Two-sided Laplace
transform
Laplace-transform derivatives, 248
Large capitalization stocks, 3
Lau, Sheila, 516
Lausanne School, 76–78
Law of Large Numbers (LLN),
38, 358–360, 380
Law of one price, 394
Learning
complexity, 317–319
Vapnik-Chervonenkis (VC)
theory, 319, 547
LeBaron, B., 258, 259, 574
Lebesgue measures, 130
Lebesgue-Stieltjes measure, 177
Lebesque-Stieltjes integrals, 130, 177
Ledermann, W., 375
Lee, E.B., 214
Lee, J.C., 748
Lee, Sang Bin, 635. See also Ho-
Lee Model
Left continuous function, 104
Legal documentation. See Credit
derivatives
Lehman Aggregate index, 497
Lehman Brothers U.S. Aggre-
gate Index, 649, 652, 653
benchmark, 654
information, 655
Leibnitz, G.W., 91, 107
Leibowitz, Martin L., 508
Leland, Hayne E., 716
Lender, definition, 51
Lending rate, 62
Length. See Vectors
Leverage, creation, 59
Leveraged portfolio, 479
Levy, Kenneth, 568, 569
Levy, Paul, 79
Levy process, 227
Levy-stable distributions, 351,
361
Levy-stable scaling regime, 385
Li, David X., 732
Liabilities
classification, 38
market value, 40
nature, 37–39
Liability-funding strategies, 661–677
Liability-matching condition, 677
Life companies, 37–41
Likelihood estimate. See Maxi-
mum likelihood estimate
Likelihood function, 321
Likelihood Ratio methods, 438
Lilien, D., 548
Limit orders, 30, 48–49. See also
Stop-limit order