Section

Section Title

Description

Hyperlink?

1.5 [foot] and 4.2.2.1
[foot]

Introduction

Annualisation (annualization)
conventions

yes

4.3.1.6

Derivative pricing and
hedging

Optimised trinomial
lattices

yes

4.3.1.6(b)

Derivative pricing and hedging

Semianalytic lattice
integrator approaches

yes

4.3.1.6(c)

Derivative pricing and
hedging

Numerical integration
techniques

no

4.3.2.2

Derivative pricing and hedging

Deriving the
BlackScholes pricing formulae using stochastic calculus if r, q
and sigma are constant

yes

4.3.2.6

Derivative pricing and
hedging

Derivative pricing
where there are multiple underlying price processes

no

4.3.4

Derivative pricing and
hedging

Analytical formulae for
option pricing greeks for BlackScholes formulae

yes

4.13

Derivative pricing and hedging

Calibrating an assumed
multivariate prior (Normal) distribution to the 'nearest' alternative
multivariate Normal distribution that reproduces the calibration points

yes

5.3.4 [foot]

Yield curve analysis

Extrapolating present
values from yield curves

no

7.1

Risk measurement

A more in depth
mathematical treatment of risk management

yes

7.2

Risk measurement

Analysis of potential
difference between weighted average of instrument specific durations and the
equivalent 'whole portfolio' duration

no

7.3.2.5

Risk measurement

Risk measurement
techniques that involve analysing fund returns through time

no

7.3.2.5 [foot]

Risk measurement

Example of snail trails

no

7.4.3

Risk measurement

Principal components
analysis and other similar techniques

yes

7.4.4

Risk measurement

Expression of
multivariate regression analysis in matrix algebra form

yes

7.4.8

Risk measurement

Time series based risk
modelling as a special case of forecasting the characteristics of return
series

yes

7.5.1

Risk measurement

The sparcity of the
data available and how using weekly data does not appear to add many more
significant principal components

no

7.5.1 [foot]

Risk measurement

Random matrix theory

yes

7.7.1

Risk attribution

Grouping individual
instrument contributions to risk

yes

7.7.1

Risk attribution

Beta adjusted risk
attribution

yes

9.3.3(a)

Backtesting risk models

Standard statistical
tests relevant to backtesting VaR and equivalents

yes

9.3.3(b)

Testing backtest
quality

Standard statistical
tests relevant to backtesting the entire distributional form

yes

9.4

Fitting observed
distributional forms

Generalised beta
distribution of the second kind, and other generalised distributional forms

yes

9.4

Fitting observed
distributional forms

Levy stable
distributions (also known as stable Paretian distributions)

yes

9.5.3

Fat tails

Derivation of
CornishFisher asymptotic expansion

yes

9.5.4

Fat tails

How the CornishFisher
asymptotic expansion lacks a desirable invariance property

no

9.5.5 [foot]

Fat tails

How polynomial
curvefits to quantilequantile plots simplify computation of expected
shortfall

yes

9.5.6

Fat tails

How mixtures of normal
distributions can lead to fattails

yes

9.5.6

Fat tails

Typically greater
sensitivity of expected shortfall versus VaR to magnitude of fattailed
behaviour

yes

9.6.4

Fat tails (in multiple
return series simultaneously)

Box counting algorithms

no

12.1

Portfolio construction

Taking account of ‘what
the market has to say’ within investment idea generation

yes

12.2.3

Portfolio construction

Algorithms for solving
(meanvariance) constrained quadratic optimisation problems

yes

12.4.2

Portfolio construction

Why statistical tests
of manager skill based on past data typically depend on information ratios

yes

12.4.2

Portfolio construction

What might constitute
upper quartile skill levels?

yes

12.4.4

Portfolio construction

Clustering techniques
for universe selection

yes

12.7.1

Portfolio construction

Practical ways of
catering better for nonNormality in return distributions in portfolio
optimisation

yes

12.8.2

Robust optimisation:
Resampling

For what mathematical
problem are resampled optimised portfolios actually optimal?

yes

13.4.10

Market consistent
liability valuations

Summary of techniques
used in nonlife insurance reserving

no

13.6.2

Solvency addons

Impact that division
between base liability and solvency addon can have within current regulatory
frameworks

no
