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