: 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,