Quantitative Finance Glossary: Key Terms and Definitions
- Autocorrelation
- Bayes' theorem
- Efficient frontier
- Beta
- Cointegration
- Correlation
- Cross-currency swap
- CIR model (Cox-Ingersoll-Ross)
- CVA (Credit Valuation Adjustment)
- Alpha
- Basis
- Cholesky decomposition
- Copula
- Delta-hedging
- Black-Scholes-Merton (BSM) framework
- Brownian motion
- Calmar ratio
- Characteristic function
- Convexity
- Bachelier model
- Black-Scholes formula
- Bootstrapping (yield curve)
- Change of numeraire
- Eigenvalue
- Arbitrage
- Credit default swap (CDS)
- Delta
- DVA (Debit Valuation Adjustment)
- APT (Arbitrage Pricing Theory)
- Backtesting
- Black-Litterman model
- CAPM (Capital Asset Pricing Model)
- Duration
- Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
- Geometric Brownian motion
- HJM framework (Heath-Jarrow-Morton)
- Maximum drawdown (MDD)
- Risk-neutral measure
- Stationarity
- Stochastic differential equation
- Volatility skew
- Valuation Adjustments (XVA)
- Yield curve
- Stochastic Alpha, Beta, Rho (SABR) Model
- Forward measure / T-forward measure
- Gamma
- Interest Rate Swap (IRS)
- Limit order book
- Price impact
- Risk parity
- Swap rate
- Variation margin (VM)
- Vasicek model
- Vega
- VIX (CBOE Volatility Index)
- Walk-forward analysis
- Dupire's formula
- Merton jump-diffusion
- Binomial tree (CRR)
- Girsanov's theorem
- Hamilton-Jacobi-Bellman equation
- Implied volatility
- Kalman filter
- Local volatility
- Martingale
- Optional stopping theorem
- Ordinary least squares
- Replicating portfolio
- Stochastic discount factor (SDF)
- Feynman-Kac formula
- Antithetic variates
- Crank-Nicolson scheme
- Credit triangle
- Least-squares Monte Carlo (Longstaff-Schwartz)
- Greeks
- Itô's lemma
- p-value
- Put-call parity
- Radon-Nikodým derivative
- Sortino ratio
- Static replication
- Volatility
- Hull-White model
- Initial margin (IM)
- Markov property
- Monte Carlo simulation
- No-arbitrage principle
- Overfitting
- PCA (Principal Component Analysis)
- Stationary distribution
- Unbiased estimator
- Volatility surface
- Expected Shortfall
- Fama-French three-factor model
- LIBOR Market Model (LMM / BGM)
- Mean-variance optimization
- Positive definite
- Rho
- Sharpe ratio
- Tail dependence
- Value at Risk (VaR)
- Volatility smile
- Rough volatility
- Hazard rate
- Heston model
- Maximum likelihood
- Stochastic volatility
- Control variates
- Distance to default
- Jarrow-Turnbull (reduced-form credit)
- Ornstein-Uhlenbeck process
- Swaption
- Forward rate
- Information ratio
- Kelly criterion
- Merton fraction
- Numeraire
- Quanto adjustment
- Theta
- Black's formula
- Probability, Statistics & Linear Algebra
- Stochastic Calculus & Continuous Time Finance
- Market Microstructure & Statistical Arbitrage
- Quant Logic & Expected Value Games
- Derivatives Pricing & Volatility Surfaces
- Quantitative Finance
- Numerical Methods & Optimization