A
Abnormal returns, conventional equity investment, 166-167
Absence-of-arbitrage formula
absorbed Brownian option, 472
Bachelier option, 469-471
Black Scholes option, 438-441
Absolute purchasing power parity, 162
Absorbed Brownian option, 472
Absorbing barriers, 432-433
Accounting exposure
corporate currency exposure, 156
risk management development, 152-153
Accounting profession, derivative securities definition, 5
Actuarial science, risk handling, 121-122
Agricultural commodities, carry costs, 221-222
Airline industry, optimal vs. transaction hedge, 296
American call options
non-dividend-paying stocks, 380-381
perpetual property, 377-378
American options
definition, 8-9
dividend payout protection, 9
early exercise, 478-479
exercise value, 377
put call parity, 401-403
valuation, 464-467
Arbitragers, future basis behavior, 171-172
ARCH, see Autoregressive conditional heteroskedasticity
Aristotle, speculation themes, 165-166
Arithmetic Brownian motion
definition, 429
option valuation with diffusion, 468, 470-471
risk-neutral valuation, 457-458
Arithmetic Gaussian process, 429
Arthur Anderson, strategic risk management description, 140
Assets, value at risk, 124-126
At-the-money options, 8, 487
Autoregressive conditional heteroskedasticity 321
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