The Mathematics of Financial Modelingand Investment Management

Index Page 769 Wednesday, February 4, 2004 1:13 PM

Index 769

Matrices (Cont.)

operations, 153, 156–160

polynomial, 301

product, 158

operation, 159

transpose, 156

Maturity, 23–24. See also

Bonds; Bullet maturity;

Claims; Term to maturity

intermediation, 36

value, 52

Maxima, 202–204, 362–368, 490

discovery, 205

Maximum, usage, 99, 209

Maximum domain of attrac-

tions (MDA), 366, 376.

See also Frechet distribu-

tion; Gumbel distribu-

tion; Weibull distribution

Maximum likelihood estimate

(MLE), 319–324

methods/techniques, 438, 534

Maximum likelihood (ML), 320

estimator, 321–323

methodology, 375, 437

Max-stable distributions, 368

McElroy, Marjorie B., 436

McEnnally, Richard W., 593, 616

McNeil, Alexander, 189, 329

Mean-reverting portfolio, 576

Mean-variance analysis (M-V

analysis) (Markowitz), 8,

202, 211, 499. See also

Portfolios

extension, 508. See Inequality

constraints

usage, 471–477, 495

Mean-variance model, 508

Mean-variance pairs, selection, 476

Mean-variance portfolio

management, 8

selection, 486

Mean-variance-efficient portfolios,

473

Measurable function. See Real-

valued measurable function

Measurable space, 173

Measure, 171–172

space, 172

Meeraus, A., 666

Mehta, M.L., 329

Menger, Carl, 77

Merrill Lynch Domestic Mar-

ket Index, 649

Merton, Robert C., 76, 87–90,

522, 684. See also Black-

Scholes-Merton Model

Messages, probability, 181

Metafile. See Descriptive metafile

Meyer, M., 390

Mid Cap 400 Index, 561

Mid-capitalization stocks, 3

Middle-of-the-road stocks, 563

Midwest Exchange, 46

Migration risk, 703

Mikosch, Thomas, 80, 353,

355, 385, 388

Miller, Merton H., 75, 83–85,

519. See also Modigliani-
     Miller irrelevance theorem;
     Modigliani-Miller theorem
     Minima, 202–204, 490
     discovery, 205
     Minimum, usage, 99, 209
     Minimum variance portfolios, 473
     Mittnik, S., 389
     Mixed-integer programming (MIP),
     666
     Modeling. See Economic model-
     ing; State-space modeling
     approaches, 14, 710
     tools, industry evaluation,
     13–15
     Models, 283. See also Asset
     pricing theory; Autore-
     gressive moving average;
     Multifactor models
     complexity, 317–319
     problem, 318
     selection, 315–317
     suite, engineering principles,
     17–18
     unconstrained search, 316
     Modern Portfolio Theory (MPT),
     471
     Modigliani, Franco, 75, 83–85
     Modigliani-Miller irrelevance
     theorem, 84–85
     Modigliani-Miller theorem, 84
     Moment ratio estimator, 377
     Moments/correlation, 186–188
     Monetary mass (M3), 340
     Moneyness, 22
     Monfort, Alain, 303, 317
     Monte Carlo simulations, usage,
     494
     Monthly tracking error, 554
     Mortgage-backed securities (MBSs),
     4, 55
     prepayment risk, 653
     risk, 653
     volatility risk, 653
     Morton, Andrew J., 640, 709.
     See also Heath-Jarrow-
     Morton Model
     Mossin, Jan, 76, 86–87, 334
     Moving average, 571–572. See
     also Stationary univari-
     ate moving average;
     Time series
     process, 298
     representation. See Linear
     infinite moving average
     representation
     MSCI EM Free, 497
     Muller, Peter, 487, 491
     Muller, U.A., 377, 389
     Multex, usage, 17
     Multidimensional map, 278
     Multidimensional observations, 337

Multidimensional trend station-

ary series, 311

Multifactor CAPM, 87–88, 511

Multifactor models, 332–338,

333, 530–537, 746

usage. See Common stocks

Multifactor risk models, 532,

555. See also Barra
     application, 577–589
     illustration, 654–661
     usage, 565, 578
     Multifactor term structure model,
     632–634
     Multiperiod finite-state setting,
     arbitrage pricing, 402–423
     Multiperiod stochastic optimi-
     zation, 492–494
     Multiple market maker systems,
     45–46
     Multiple stepup note, 55
     Multiple-period immunization,
     668
     Multiplication operation, 154–
     156, 158–159
     Multiplicative state-space method,
     547
     Multiplicative state-space mod-
     els, 384
     Multistage stochastic optimiza-
     tion, description, 676
     Multistage stochastic program-
     ming, 675–677
     Multivariate distribution, 732
     Multivariate function, 202–203
     Multivariate GARCH, 548
     Multivariate models. See Non-
     stationary multivariate
     ARMA models; Station-
     ary multivariate ARMA
     models
     Multivariate random walk model,
     327, 339
     Multivariate stationary series,
     293–295
     Multivariate time series, 285
     Multivariate white noise, 338
     Mulvey, John M., 392, 473
     Municipal bonds. See U.S.
     municipal bonds
     Municipal government bond
     issue, 663
     Musiela, Marek, 644. See also
     Brace-Gatarek-Musiela
     Model
     Mutual funds, 87
     investment, 36
     liabilities, 42
     Myopic one-period optimization
     models, 492
     Nagahara, Y., 388
     Naive set theory, 93
     NASDAQ-AMEX Market Group,
     Inc., 46