Mathematical finance

field of applied mathematics, concerned with mathematical modeling of financial markets

when interest is added to the principal of a deposit or loan, so that, from that moment on, the interest that has been added also earns interest

percentage of a sum of money charged for its use

the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns

valuation in finance

finance term; profit on an investment

financial trading done directly between two parties, rather than on an exchange

Econophysics is a transdisciplinary research field in heterodox economics. It applies theories and methods originally developed by physicists to problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics.

application of technical methods, especially from mathematical finance and computational finance, in the practice of finance

rate that a company is expected to pay on average to all its security holders to finance its assets; firm’s cost of capital

investment paradigm that involves buying securities that appear underpriced by some form of fundamental analysis

in finance, number describing the correlated volatility of an asset in relation to the volatility of the benchmark

differential equations involving stochastic processes

type of trading using highly sophisticated algorithms and very short-term investment horizons

calculus on stochastic processes

economic concept denoting value of an expected income stream determined as of the date of valuation

partial differential equation

interest rate for a whole year

estimate of future interest rates

formula relating stochastic processes to partial differential equations

CAGR is a term for the geometric progression ratio that provides a constant rate of return

thumb|upright=2|CBOE Volatility Index (VIX) 2004–2020. VIX is the ticker symbol and popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.

methods of estimating the doubling time of an investment

calculus of stochastic differential equations

model parameters in mathematical finance

financial measure

In econometrics, cointegration is a statistical property that describes a long-run equilibrium relationship among two or more time series variables, even if the individual series are non-stationary (i.e., they contain stochastic trends). In such cases, the variables may drift in the short run, but their linear combination is stationary, implying that they move together over time and remain bound by a stable equilibrium.

derivative which has features making it more complex than commonly traded products

value of an asset at a specific date

numerical method for the valuation of financial options

risk-adjusted measure of the so-called active return on an investment

finite difference method for numerically solving parabolic differential equations

in financial mathematics, defines a relationship between the price of a European call option and a European put option

theorem

form of financial analysis using quantitative and statistical methods

In finance, a perpetuity is an annuity with payments that continue indefinitely.

in finance, a price (premium) is paid or received for purchasing or selling options

mathematical techniques used in probability theory and related fields

task of building an abstract representation of a real world financial situation

subclass of fee

American computer scientist & hedge fund founder

economics term

financial measure of an investment's attractiveness

term within finance

class of mathematical problems concerned with choosing an optimal time to take a particular action

The numéraire (or numeraire) is a basic standard by which value is computed. In mathematical economics it is a tradable economic entity in terms of whose price the relative prices of all other tradables are expressed. In a monetary economy, one of the functions of money is to act as the numéraire, i.e. to serve as a unit of account and therefore provide a common benchmark relative to which the value of various goods and services can be measured against.

financial mathematical measure

financial measurement of pre-paid interest

financial calculation

Necessary and sufficient conditions for a market to be arbitrage free and complete

branch of applied computer science that deals with problems of practical interest in finance

stochastic partial differential equation governing the price evolution of European options under the Black–Scholes model

time series statistical test

type of financial portfolio

implied volatility patterns that arise in pricing financial options

second derivatives in financial modeling generally

function expressing price as a function of quantity demanded