Book contents
- Frontmatter
- Contents
- Preface
- The parable of the bookmaker
- Chapter 1 Introduction
- Chapter 2 Discrete processes
- Chapter 3 Continuous processes
- Chapter 4 Pricing market securities
- Chapter 5 Interest rates
- Chapter 6 Bigger models
- Appendices
- A1 Further reading
- A2 Notation
- A3 Answers to exercises
- A4 Glossary of technical terms
- Index
A2 - Notation
Published online by Cambridge University Press: 05 February 2014
- Frontmatter
- Contents
- Preface
- The parable of the bookmaker
- Chapter 1 Introduction
- Chapter 2 Discrete processes
- Chapter 3 Continuous processes
- Chapter 4 Pricing market securities
- Chapter 5 Interest rates
- Chapter 6 Bigger models
- Appendices
- A1 Further reading
- A2 Notation
- A3 Answers to exercises
- A4 Glossary of technical terms
- Index
Summary
Notation can be divided naturally into three parts: lower case (generally deterministic), upper case (generally random), and Greek.
Lower case
a a (real) parameter
c a constant; coupon rate
Radon—Nikodym derivative of ℚ with respect to ℙ
dt infinitesimal time increment
dWt infinitesimal Brownian increment
f a function
fℙ(x) probability density function of the law ℙ
f(t, T) bond forward rates
g a function
g(x, t, T) the function (− log P(t, T) ∣ rt = x)
i an integer
j an integer
k contract strike/exercise price; an integer; an offset
n an integer
n[t] number of dividend payments made by time t
p, pj a probability
q, Qj a probability
r constant interest rate
rt variable interest rate process; instantaneous rate
s initial stock price, alternative time variable
Sj possible value for the discrete stock process
t time
u foreign currency interest rate; real variable
x a real variable; horizontal axis variable
Xi(t) time-dependent factor of volatility surface
yi(T) maturity-dependent factor of volatility surface
Upper case
A an event; a constant
At HJM volatility matrix
Bi, Bt bond price process
B(t, T) solution of a Riccati equation
Ct foreign exchange rate; coupon bond price; numeraire
Di financing gap
Dt foreign currency cash bond
D(t, T) solution of a Riccati equation
E expectation operator
Eℙ expectation under the measure ℙ
Et discounted portfolio value process
F forward price
Fs(t, T) forward price at time s for P(t, T)
Fq quanto forward price
Fi history of discrete stock-price process up to tick-time i
- Type
- Chapter
- Information
- Financial CalculusAn Introduction to Derivative Pricing, pp. 205 - 208Publisher: Cambridge University PressPrint publication year: 1996