Index

A

• absolute transaction costs
  • optimal hedging / Optimal hedging in the case of absolute transaction costs
• Advanced Measurement Approach (AMA) / Minimum capital requirements
• Alternative Standard Approach (ASTA) / Minimum capital requirements
• analytical VaR / Analytical VaR
• application, in R
  • about / Application in R
• APT
  • about / Arbitrage pricing theory
  • assumptions / Arbitrage pricing theory
  • implementing / Implementation of APT
  • Fama-French three-factor model / Fama-French three-factor model
  • estimating, with principal component analysis / Estimation of APT with principal component analysis
• AR(1) model
  • estimating / AR(1) estimation and forecasting
  • forecasting / AR(1) estimation and forecasting
• Asian options
  • about / A glance beyond vanillas
• ATM (at-the-money) / Dynamic delta hedge

B

• backtesting
  • about / Backtesting
• Basel Accords
  • principles / Principles of the Basel Accords
  • Basel...