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Yield curve option-pricing models
| Глоссарий экономических терминов |
Models that can incorporate different volatility assumptions along the yield curve, such as the black-derman-toy model. also called arbitrage-free option-pricing models.
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Incorporate, английский
Включать; встраивать
Volatility, английский
- The degree of price fluctuation for a given asset, rate, or index; usually expressed as a variance or standard deviation.
- A statistical measure of the tendency of a market price or yield to vary over time.
- Волатильность, относительная скорость, с которой цена перемещается вверх и вниз; мера степени изменений рыночной стоимости ценных бумаг, определяемая за период в 52 недели (12 месяцев) и измеряемая в процентах. для того чтобы измерить волатильность, нужно
- This property describes the degree and rate at which a liquid will vaporize under given conditions of temperature and pressure. when liquid stability changes, this property is often reduced in value.
- Относительная скорость, с которой цена перемещается вверх и вниз. вычисляется годовое среднеквадратичное отклонение ежедневного изменения цены.
- Property of having a low boiling point or temperature of sublimation at normal pressure. likewise, having a high vapor pressure at ambient conditions.
- A measure of risk based on the standard deviation of the asset return. volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option. there are volatility indexes. such as a scale of 1-9; a higher rating means higher risk.
- Нестабильность
- Describes how easily a substance will vaporize (turn into a gas or vapor).
- The property of a liquid that defines its evaporation characteristics. of two liquids, the more volatile will boil at a lower temperature and will evaporate faster when both liquids are at the same temperature. the volatility of petroleum products can be evaluated by tests for flash point, vapor pressure, distillation and evaporation rate.
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Neural nets, английский
Models which mimic the massive parallel processing that occurs in the brain.
Extrapolative statistical models, английский
Models that apply a formula to historical data and project results for a future period. such models include the simple linear trend model, the simple exponential model, and the simple autoregressive model. f harvey`s hypertextual finance glossary copyright © 2020. all worldwide rights reserved. do not reproduce without explicit permission. keep up to date on the latest finance lingo with the new ipad/iphone app download from itunes order the book with the 2002 pulitzer prize winner for financial writing, gretchen morgenson of the new york times order via amazon order via barnes and noble a b c d e f g h i j k l m n o p q r s t u v w x y z #
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