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10.2 Notation and symbols

Slide : [ GLOSSARY: Bloomberg - Economist || DATA ]

$ A$
value of a fixed amount of cash.
$ B$
barrier of an option, resistance / support level in a market.
$ Bnd(t,\{t_i\},T)$
value at time $ t$ of a bond paying coupons at times $ \{t_i\}$ up to the maturity date $ T$ .
C
plain vanilla call option.
$ D$
fixed dividend per share.
E
earnings from an asset in the P/E ratio.
G
annual growth rate from an asset, similar to $ R$ .
$ N,n$
numbers counting random walkers, days, intervals, etc.
$ K$
strike price / rate of an stock / credit option, or swap rate.
P
price of an asset in the P/E ratio or plain vanilla put option.
$ P(t,T)$
value at time $ t$ of a discount bond with a maturity $ T$ .
$ R$
continuously compounded interest rate.
$ R_s$
simply compounded interest rate.
$ R_l$
discretely compounded (every $ l$ years) interest rate.
$ r, dr$
spot rate and its increments for an interest rate.
$ t,\Delta t$
time and time interval.
$ S, dS$
spot price and its increment for a share.
$ S_x$
Sharpe ratio for a portfolio $ x$ .
$ X,dX$
unknown and its differential in general.
$ X_i$
pre-determined value of a bond coupon payed at time $ \{t_i\}$ .
$ Y$
annual yield measuring an exponential growth $ A\exp(Yn)$ .
$ \alpha$
CAPM parameter measuring the performance from arbitrage and costs.
$ \beta$
CAPM parameter measuring the performance from taking risk.
$ \epsilon$
relative error ( $ \propto\sqrt{N}$ in Monte-Carlo simulations.
$ E(S)$
expected value from a random variable $ S$ .
$ \Pi(t)$
value at time $ t$ of a portfolio.
$ \sigma$
volatility, standard deviation of expected returns.
$ \zeta$
random number

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