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spreadsheet, 385
’ XFGSPD
star-discrepancy, 356
VaR,
State-Price Densities,
’ XFGVAR
’ XFGSPD
Monte Carlo option pricing,
statistical process control,
’ option pricing
’ SPC
multi-period transitions, 101
Multivariate Volatility Models,
TGARCH, 368
’ BiGARCH
threshold normal model, 91
time homogeneity, 323
nonparametric estimates of
transition matrix, 87
GARCH processes,
transition probability, 87, 89
’ NPGARCH
chi-square test, 95
NPGARCH, 367
estimator, 90
nummath library, 298
simultaneous, 92
standard deviation, 90, 92
option pricing
test of homogeneity, 95
Monte Carlo option pricing,
time-stability, 94
’ mcopt
Index 401


USTF data, 55

Value at Risk,
’ XFGVAR
Value-at-Risk, 35
value-at-risk, 367
VaR, 367
VaR library, 41, 42
volatility, 323
volsurf01 data, 141
volsurf02 data, 141
volsurf03 data, 141
volsurfdata2 data, 130, 393

XFGData9701 data, 184
XFGhouseprice data, 290
XFGhousequality data, 290, 294
XFGSPD, 171
XFGVAR, 3

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