Iguchi, Toshihide A rogue trader whose speculative activities during the 1980s and 1990s cost Daiwa Bank Corp. USD 1.1 billion.

imaginary number A complex number of the form bi, where b is real, and i is the imaginary number .

impact costs Transaction costs that arise for trades that are sufficiently large that they cannot be transacted at the best bid or ask price.

implementation shortfall A metric of total transaction costs—usually Perold's implementation shortfall.

implied volatility A volatility inferred from an option price.

implied tree model Alternative name for a local volatility model.

importance sampling A technique of variance reduction for the Monte Carlo method.

in-the-money A condition where an option has a positive intrinsic value.

in-warehouse A method for settling physical commodity trades.

income bond A corporate bond that only has to pay coupons if the issuer has sufficient income to do so.

incorporation by registration A 19th century legal innovation that streamlined the formation of corporations.

indefinite matrix A square matrix that is neither positive semidefinite nor negative semidefinite.

indenture A bond's loan agreement.

independence In the context of financial risk management, the segregation of risk management and risk taking functions.

independent white noise A white noise with independent terms.

individual investor A person or family possessing invested assets.

inference procedure The procedure within a VaR measure that characterizes a joint probability distribution for key factors.

infimum The infimum of a real set A is the largest real number such that all elements of A are greater than or equal to that number.

initial margin An amount of money that must be on deposit with a broker before you can put on a futures position.

institutional investor An organization, such as a pension fund, insurance company or mutual fund, possessing invested assets.

integers The set of numbers {…, –2, –1, 0, 1, 2, …}.

intensity model A type of default model.

intercommodity spread A futures spread where the contracts are for different underliers.

interest rate cap A derivative instrument which is linked to interest rates.

interest rate floor A derivative instrument which is linked to interest rates.

interest rate gap An imbalance in the assets and liabilities being repriced during a given period.

interest rate parity An arbitrage condition that must hold between the spot interest rates of different currencies.

Interest rate risk Risk due to uncertain future interest rates.

interest rate spreads Spreads between interest rates.

interest rate swap A swap under which both cash flow streams are in the same currency and are of a nature that might be associated with some fixed income obligation.

International Organization of Securities Commissions An international organization representing securities regulators.

interpolation Any procedure for fitting a function to a set of points in such a manner that the function intercepts each of the points.

interpolation remapping A global remapping implemented using interpolation.

intersection The intersection of two sets C and D is the set CD that contains all elements that are both elements of C and elements of D.

intracommodity spread A futures spread where both futures are on the same underlier but have different maturities.

intrinsic value The component of an option's market value that could be realized by exercising the option immediately.

inverse floater A floater whose coupon varies inversely to its reference rate.

inverse floater CMO A CMO tranch structured as an inverse floater.

investment adviser Investment manager.

Investment Advisers Act of 1940 US legislation governing the relationship between a mutual fund and its investment manager.

investment bank A type of bank defined by US law that underwrites and trades securities.

investment company A mutual fund.

Investment Company Act of 1940 US legislation authorizing the SEC to regulate mutual funds.

investment grade bond A bond whose credit rating is BBB or better.

investment management The process of investing a portfolio on an ongoing basis.

investment management industry Industry comprising investment management firms and pooled investment vehicles, such as mutual funds.

investment management firm A firm that manages investment portfolios for others.

investment manager A professional who invests portfolios on an ongoing basis.

Investment Services Directive 1993 European financial legislation.

investment value What the market value of a convertible security would be if it were stripped of its conversation feature.

invoice price Dirty price.

IO A type of mortgage-backed security.

IOSCO An international organization representing securities regulators.

ISD Investment Services Directive.

ISO codes Currency codes.

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