quant primer10x
DESCRIPTION
testTRANSCRIPT
Quant Primer – 2007 FRM
Notation1
3
Derivatives
4 Matrices
5
i rate, and compounding
2 Variance example
Notation
X
Notation
Notation
ˆ estimate of Beta parameter
Greek symbols (common)
( )X
Z
( )X XZ
sPopulation
“we want it,but can’t get”
Sample“Use to draw inferences about the population”
Greek symbols (common)
alpha y intercept
beta systematic risk
epsilon error term
lambda persistence (EWMA), average (Poisson)
mu expected return (mean)
rho correlation coefficient
sigma standard deviation
Sigma sum
Chi distribution
Greek symbols
standard deviation (X) X
Greek symbols
standard deviation (X) X
2variance (X) X
Greek symbols
standard deviation (X) X
2variance (X) X
2 =X X
Greek symbols
( , )StandardDev( ) StandardDev( )XY
XY
X Y
COV X YX Y
Greek symbols Population variance
2 2
1
1( )
m
n n ii
u um
Greek symbols Sample variance
m
n n ii
u um
2 2
1
1( )
1
Premiu
ms
Interest rate (i)
Real risk-free (riskless) rate
Premiu
ms
Interest rate (i)
Real risk-free (riskless) rate
Inflation
Premiu
ms
Interest rate (i)
Real risk-free (riskless) rate
Inflation
Default risk (credit risk)
Premiu
ms
Interest rate (i)
Real risk-free (riskless) rate
Inflation
Default risk (credit risk)
Liquidity
Premiu
ms
Interest rate (i)
Real risk-free (riskless) rate
Inflation
Default risk (credit risk)
Liquidity
Maturity
Future value of PV: compound frequency Interest may be paid annually, semiannually,
quarterly, monthly, or even daily
Future value of PV: compound frequency
Present Value (PV)
Present Value (PV)
FutureValue (PV)