Mathematical finance

In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve.

The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment instruments.

Cointegration is a statistical property of a collection (X1,X2,...,Xk) of time series variables.

Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.

In mathematical economics, the Arrow–Debreu model suggests that under certain economic assumptions (convex preferences, perfect competition, and demand independence) there must be a set of prices such that aggregate supplies will equal aggregate demands for every commodity in the economy.

Value at Risk (VaR) is a measure of the risk of investments.

Econophysics is an interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics.

The internal rate of return (IRR) or economic rate of return (ERR) is a method of calculating rate of return.

The forward rate is the future yield on a bond.

Intertemporal portfolio choice is the process of allocating one's investable wealth to various assets, especially financial assets, repeatedly over time, in such a way as to optimize some criterion.

In economics, present value, also known as present discounted value, is the value of an expected income stream determined as of the date of valuation.

In mathematical finance, the Greeks are the quantities representing the sensitivity of the price of derivatives such as options to a change in underlying parameters on which the value of an instrument or portfolio of financial instruments is dependent.

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk, defined as variance.

Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period.

The Liquidity-at-Risk (short: LaR) is a quantity to measure financial risks and is the maximum net liquidity drain relative to the expected liquidity position which should not be exceeded at a given confidence level (e.g. 95%).

Profit-at-Risk (PaR) is a risk management quantity most often used for electricity portfolios that contain some mixture of generation assets, trading contracts and end-user consumption.

QuantLib is an open-source software library which provides tools for software developers interested in financial instrument valuation and related subjects.

The addition of interest to the principal sum of a loan or deposit is called compounding.

Robert Alan Jarrow is the Ronald P.

David Elliot Shaw (born March 29, 1951) is an American computer scientist and computational biochemist who founded D.

Implied Repo Rate (IRR) is the rate of return of borrowing money to buy an asset in the spot market and delivering it in the futures market where the notional is used to repay the loan.