Index
A
Acceptance-rejection method, 165
ACF. See Autocorrelation
American option, 7
AND gate, 225
Arbitrageur, 12
Arbitration, 10
ARCH. See Autoregressive conditional heteroscedasticity
ARFIMA. See Auto-regressive fractionally
integrated moving average
ARIMA. See Autoregressive integral moving average
ASCII, 195, 208, 230
Asymmetric keys, 211
Autocorrelation, 96–98, 247
Auto-covariance, 96–98, 247
Autoregressive conditional heteroscedasticity, 110–111
Autoregressive fractionally integrated moving average, 109
Autoregressive integral moving average,
106–109
B
Bachelier, L., 1, 32
Bandwidth, 205–207
Barrier option, 151–156
Bartering, 8, 193
Basel Committee on Banking Supervision,
63
Bayes’ theorem, 201
Bear market, 66
Bear spread, 66
Beethoven’s fifth symphony, 204
Behavioural economics, 117–119
Bellman equation, 174
Beta function, 87, 88
Bezout’s equation, 213, 258
Binary digit, 195, 225
Binary symmetric channel, 199–203, 208,
256—257
Binomial tree, 29–31, 235
Bit. See Binary digit
Bitcoin, 218
consensus algorithm, 218
full nodes, 218
miner, 219
proof of work, 219
satoshis, 219
wallet, 219
Black, F., 49
Black monday in 1987, 115, 139, 142
Black-Scholes
action, 161, 162
derivation, 47–49
equation, v, 2, 47–51, 56, 58, 62, 145
Hamiltonian, 145, 148–151, 160, 161
Lagrangian, 161
pricing kernel, 155, 162, 163, 253
solution, 49–51
Blockchain, 218–221
consensus algorithm, 218
full nodes, 218
miner, 219
nonce, 219
proof of work, 219
wallet, 219
Block cipher, 209
© The Editor(s) (if applicable) and The Author(s), under exclusive
license to Springer Nature Switzerland AG 2021
V. Ziemann, Physics and Finance, Undergraduate Lecture Notes in Physics,
https://doi.org/10.1007/978-3-030-63643-2
281
A
Acceptance-rejection method, 165
ACF. See Autocorrelation
American option, 7
AND gate, 225
Arbitrageur, 12
Arbitration, 10
ARCH. See Autoregressive conditional heteroscedasticity
ARFIMA. See Auto-regressive fractionally
integrated moving average
ARIMA. See Autoregressive integral moving average
ASCII, 195, 208, 230
Asymmetric keys, 211
Autocorrelation, 96–98, 247
Auto-covariance, 96–98, 247
Autoregressive conditional heteroscedasticity, 110–111
Autoregressive fractionally integrated moving average, 109
Autoregressive integral moving average,
106–109
B
Bachelier, L., 1, 32
Bandwidth, 205–207
Barrier option, 151–156
Bartering, 8, 193
Basel Committee on Banking Supervision,
63
Bayes’ theorem, 201
Bear market, 66
Bear spread, 66
Beethoven’s fifth symphony, 204
Behavioural economics, 117–119
Bellman equation, 174
Beta function, 87, 88
Bezout’s equation, 213, 258
Binary digit, 195, 225
Binary symmetric channel, 199–203, 208,
256—257
Binomial tree, 29–31, 235
Bit. See Binary digit
Bitcoin, 218
consensus algorithm, 218
full nodes, 218
miner, 219
proof of work, 219
satoshis, 219
wallet, 219
Black, F., 49
Black monday in 1987, 115, 139, 142
Black-Scholes
action, 161, 162
derivation, 47–49
equation, v, 2, 47–51, 56, 58, 62, 145
Hamiltonian, 145, 148–151, 160, 161
Lagrangian, 161
pricing kernel, 155, 162, 163, 253
solution, 49–51
Blockchain, 218–221
consensus algorithm, 218
full nodes, 218
miner, 219
nonce, 219
proof of work, 219
wallet, 219
Block cipher, 209
© The Editor(s) (if applicable) and The Author(s), under exclusive
license to Springer Nature Switzerland AG 2021
V. Ziemann, Physics and Finance, Undergraduate Lecture Notes in Physics,
https://doi.org/10.1007/978-3-030-63643-2
281