282 INDEX
synthetic portfolios, 239
Taylor polynomials, 202
technical analysis, 53, 151
Texas Instruments, 12
Theta, 261
total quadratic variation, 188
tranche, 65, 66
transform methods, 130
transformations, 178
uncertainty, 269
Value At Risk, 270
van der Waals, 46
Vega, 262
volatility, 217, 246
historical, 253
implied, 254
weak law, 127
Weak Law of Large Numbers, 126,
136, 149
well-posed, 223
white noise, 60
Wiener process
conditional probability, 167
security prices, 164
Wiener Process, 163
independent increments, 163
joint probability density, 164
Markov property, 164
quadratic variation, 189
total variation, 192
Wiener process, 10, 11, 60, 162
hitting time, 180
inversion, 174, 175
maximum, 182
reflection principle, 180
ruin problem, 182
scale, 175
scaling, 174
shift, 175
translation, 174
Wiener, Norbert, 162
Wiener, Norbert, 11