Index Page 776 Wednesday, February 4, 2004 1:13 PM
776 IndexStrategic bond/equity mix, 498
Strategic return/risk decisions, 508
Stratified sampling, 650
Stratonovich, Ruslan L., 79, 221,
224, 269
Strike price, 64, 68. See also
Internal strike price
value, 69
Strong consistency, 376
Strong Duality theorem, 210
Strong Laws of Large Numbers
(SLLN), 358, 360
Strong solution, 275, 739
Strong-form efficiency, 32
Stroughair, John D., 378
Structural form models, 696
Structural models, 684. See also
Barrier structural model
advantages/drawbacks, 696
binomial process, 700
Structural-based models, 711
Structured portfolio strategies, 6
Stylized facts, 286
Subexponential distributions,
354–356
Subexponentiality, indicators, 256
Subordinate basket credit default
swaps, 681–683
Subordinate basket default swaps,
682
Subordinated models, 380
Subordinated processes, 383–384
Subsets. See Proper subsets
Subspace algorithm, 538, 544
Subspace-space algorithm, 544
Sum rule, 109
Summand
derivatives, computation, 113
number, restriction, 296
second derivatives, calcula -
tion, 119
Summation. See Absolute sum -
mation
Summers, L., 343
Supply-and-demand equilibrium, 77
Supremum, usage, 99
Survival function, 352
Survival probability, 688, 698, 712–
713, 719. See also One-year
survival probability; Total
survival probability
computation, 713–715
labeling, 719
Swaps, 69–70. See also Credit
default swaps; Default
swap; Nth to default swaps
agreements, 26
curves, 608–612
construction, maturity points,
611
market, government regulation, 610
premium, 680
Switching models. See Markov
switching modelsSymmetric Cauchy distributions, 361
Symmetric risk/reward relation -
ship, 66
Symmetric square matrix, 147
System, minimal size, 307
Systematic risk, 513–517, 525,- See also Nonsys-
tematic risk
exposure, 656–660. See also
Nonsystematic risk
factors, 86, 652, 654. See also
Unsystematic risk factors
Systematic-residual risk decom-
position, 578–580
Tails
closure property, 360
index, 356
Takayama, Akira, 483
Takayasu, H., 388
Takayasu, M., 388
Tangency portfolio, 485
Tangible assets, 21–22. See also
Intangible assets
Taqqu, M.S., 355, 387, 389
Tartaglia, Nunzio, 576
Tasche, Dirk, 749
Taxation, issues, 5–6
Taxes. See Capital gains
status, 22. See also Financial
assets
Taylor expansion, 367
Taylor series
expansion, 121–126
usage, 124–125, 126
Taylor’s theorem, 121
t-distribution, 392
Technical analysis, 567, 574
strategies, 571–573
Teicher, Henry, 174, 193
Tempered distributions, 268
Term structure. See Hazard
rates; Interest rates; Yield
determination, 625
factors, 656
HJM Model, 640–643
liquidity theory, 617
model. See Multifactor term
structure model
examples. See One-factor
term structure models
principal component analysis,
632
risk, 658
factors, 653
shape (determinants), classi-
cal economic theories,
612–618
Term to maturity, 22–24. See
also Bonds
Terminal payoff, 707
Termination date, 680. See also
Scheduled termination date
Termination value. See Credit
default swaps
Termwise differentiation, rule,
108–109
Testing, 315
Thaler, Richard, 572
Theorem of existence. See Exist -
ence
Theorem of uniqueness. See Unique-
ness
Theoretical futures price, 61–62
Theoretical spot rate curve, 603
Thin market, 23
Tick-test rules, 49
Time correlation. See Defaults
Time horizon, 731
Time intervals, 247
Time invariance, 294
Time premium. See Options
Time series, 335. See also Finan -
cial time series; Univari-
ate time series
autoregressive representation,
288–297
concepts, 283–286
infinite moving average, 288–297
Time-dependent autocovari -
ance function, 294
Time-independent autocorrela -
tion function, 303
Time-path continuity, 234
Time-separable utility function,
492
Time-variable economic quanti -
ties, 225
Time-varying interest rates, con -
tinuous compounding, 246
Tobin, James, 22, 24, 477
Todd, Peter, 477
Toft, Klaus Bjerre, 716
Top-down approaches. See Active
investing
Top-down investing, macroeco -
nomic outlook, 567
Top-down passive approaches,
566
Total excess return, 578
Total excess risk, 578
Total market capitalization, 1
Total protection value. See
Default swap
Total risk, 515
decomposition, 578
Total survival probability, 712
Total variation, 105–106
Toy, William, 638. See also Black-
Derman-Toy Model
Tracking errors, 552–560, 654. See
also Actual tracking error;
Annual tracking error;
Backward-looking track-
ing errors; Forward-looking
tracking errors; Monthly
tracking error; Portfolios