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