The Mathematics of Financial Modelingand Investment Management

Index Page 778 Wednesday, February 4, 2004 1:13 PM

778 Index

Vector-valued function, 175

Vladimirou, Hercules, 473

Volatility. See Assets; Equity

clustering phenomena, 753

decays, 378

impact. See Benchmarks; White

noise

models. See Stochastic volatil-

ity models

Volpert, Kenneth E., 650

von Mises, Richard, 166

Waeb-based researech portals,

usage, 17

Wagner, M., 345, 538, 544

Wagner, N., 377

Wagner, Wayne H., 416, 551

Wallace, Anise, 525

Wallace, Stein W., 202, 677

Wallis, J.R., 375

Walras, Leon, 75–78

Wang, Zhenyu, 523

Watanabe, S., 221

Watson, Mark W., 334, 540, 543

Weak consistency, 376

Weak efficiency, 32

Weak Laws of Large Numbers

(WLLN), 358

Weak solution, 275, 739

Weibull distribution, 362–363, 365

MDA, 367

Weil, R.L., 667

West, Richard R., 31

White, Alan, 636, 711, 717. See

also Hull-White Model

White noise, 268. See also Con-

tinuous-time white noise;

Multivariate white noise

inputs, 308

process. See n-dimensional zero-

mean white noise process;

One-dimensional zero-

mean white noise process

volatility, impact, 346–347

Wiener process, 687

Wigner, Eugene, 92

Williams, George, 637

Wilshire Associates, 46–48, 521

Wilson, Kenneth, 11

Wold representation. See Station-

ary series

Wood, E.F., 375

World Bank, 51

Wright, David J., 649

Wu, Wei, 652, 654, 656, 657,

662, 663

Yamai, Yasuhiro, 749

Yield. See Premium par yield

curve. See Inverted yield curve;

Normal yield curve

risk, 671

term structure, 599–612

reinvestment, 598–599

Yield-maturity relationship, non-

uniqueness, 602

Yield-to-maturity measure, 596–599

Yield-to-maturity theory, 616, 617

Yoshiba, Toshinao, 749

Zadeh, Lotfi A., 165

Zahlen, 97

Zellner, Arnold, 748

Zenios, Stavros, 487, 492, 666,

671, 674, 676

Zero matrix, 146

Zero-beta portfolio, 522

Zero-coupon bond, 53, 599, 619,

639. See also Defaultable
     zero-coupon bond
     arbitrage-free prices, 638
     computation, 639
     expiration, 691
     two-year, 708
     value, 603
     yield, identification, 602
     Zero-coupon risk-free bond, 623
     Zero-coupon Treasury debt issues,
     603
     Zero-coupon Treasury securities,
     package, 604
     Zhou, Chunsheng, 695
     Zipf’s law, 357, 369
     statement, 370