Mathematical finance

2017-07-30T08:39:34+03:00[Europe/Moscow] en true Risk measure, Black–Scholes model, Cointegration, Computational finance, Arrow–Debreu model, Value at risk, Econophysics, Internal rate of return, Forward rate, Intertemporal portfolio choice, Present value, Greeks (finance), Modern portfolio theory, Compound annual growth rate, Liquidity at risk, Profit at risk, QuantLib, Compound interest, Robert A. Jarrow, David E. Shaw, Implied repo rate flashcards Mathematical finance
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  • Risk measure
    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.
  • Black–Scholes model
    The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment instruments.
  • Cointegration
    Cointegration is a statistical property of a collection (X1,X2,...,Xk) of time series variables.
  • Computational finance
    Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.
  • Arrow–Debreu model
    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
    Value at Risk (VaR) is a measure of the risk of investments.
  • Econophysics
    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.
  • Internal rate of return
    The internal rate of return (IRR) or economic rate of return (ERR) is a method of calculating rate of return.
  • Forward rate
    The forward rate is the future yield on a bond.
  • Intertemporal portfolio choice
    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.
  • Present value
    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.
  • Greeks (finance)
    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
    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
    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.
  • Liquidity at risk
    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
    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
    QuantLib is an open-source software library which provides tools for software developers interested in financial instrument valuation and related subjects.
  • Compound interest
    The addition of interest to the principal sum of a loan or deposit is called compounding.
  • Robert A. Jarrow
    Robert Alan Jarrow is the Ronald P.
  • David E. Shaw
    David Elliot Shaw (born March 29, 1951) is an American computer scientist and computational biochemist who founded D.
  • Implied repo rate
    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.