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: the expected rate of return of an asset

: the expected value of risky cash flows

: a normal distribution with mean zero and standard deviation of 1

: covariance matrix of all risk sources

: the risk neutral probability

: the market probability

: the standard deviation of an asset

: the volatility of the year rate at time

: volatility time

: the volatility of margin ratio

: volatility of asset

: the volatility of the j-year spot rate, years from now, or the volatility surface for and vary over a range of years

: the term structure of forward volatilities

: the volatility of the n-th year rate of the spot curve for each n = 1, 2, ¡

: annualized volatility of the bond price at time

: annualized volatility for the k-th caplet

: the instantaneous standard deviation (or volatility or risk) of the underlying asset or the risk

: portfolio risk

: the market risk

: the term structure of volatilities of proportional change in bond price

: a standard deviation over

: a variance-covariance matrix

): correlation matrix

: the risk neutral probability

: increment time

: the cumulative normal distribution

the error term

: an eigenvector

: the instantaneous returns or the drift of the underlying asset or the drift

: a unit of risk, a normal distribution over an (infinitely) short time interval viewed as a unit of risk, which has a zero mean and the standard deviation

: cumulative normal distribution

: upstate market probability parameters

: the critical value

: the adjustment speed of the mean reversion process

: the recovery ratio

: the default premium

: profit margin of the time deposits

: beta of asset

: the reserve ratio

: the hedge ratio

: upward movement proportion

: downward movement proportion

: the eigenvalue or the market price of risk,