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In statistical process control (SPC), the ¯ and R chart is a type of scheme, popularly known as control chart, used to monitor the mean and range of a normally distributed variables simultaneously, when samples are collected at regular intervals from a business or industrial process. [1]
Real options valuation, also often termed real options analysis, [1] (ROV or ROA) applies option valuation techniques to capital budgeting decisions. [2] A real option itself, is the right—but not the obligation—to undertake certain business initiatives, such as deferring, abandoning, expanding, staging, or contracting a capital investment project. [3]
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.
For example, if an out-of-the-money call option has a delta of 0.15, the trader might estimate that the option has approximately a 15% chance of expiring in-the-money. Similarly, if a put contract has a delta of −0.25, the trader might expect the option to have a 25% probability of expiring in-the-money.
ggplot2 is an open-source data visualization package for the statistical programming language R.Created by Hadley Wickham in 2005, ggplot2 is an implementation of Leland Wilkinson's Grammar of Graphics—a general scheme for data visualization which breaks up graphs into semantic components such as scales and layers. ggplot2 can serve as a replacement for the base graphics in R and contains a ...
In perhaps the best known example, the American firm Long-Term Capital Management (LTCM) fell victim to limits-to-arbitrage, in 1998. The company had staked its investments on the convergence of the prices of certain bonds. These bond prices were guaranteed to converge in the long run.
Concentration risk is a banking term describing the level of risk in a bank's portfolio arising from concentration to a single counterparty, sector or country.. The risk arises from the observation that more concentrated portfolios are less diverse and therefore the returns on the underlying assets are more correlated.
A related concept is that of term structure of volatility, which describes how (implied) volatility differs for related options with different maturities. An implied volatility surface is a 3-D plot that plots volatility smile and term structure of volatility in a consolidated three-dimensional surface for all options on a given underlying asset.