A cap is a call option on a specified interest rate such as LIBOR, Euribor, the US prime rate, or...
A fixed set of equally weighted credit default swaps with standard maturities ranging between 5 to 10 years. The credit...
A credit derivative (specifically a spreadlock option) that has a strike spread such that the payoff at maturity is determined...
An adjustment which is made to the price of a swap to account to a margin reflecting the potential loss...
A swap agreement that relates a vanilla currency swap to a credit event. Once the credit event occurs, the swap...
A swap agreement that relates a vanilla currency swap to a credit event. Once that credit event occurs, the swap...
A collateralized debt obligation (CDO) that is backed by other collateralized debt obligations. Differently stated, it is an asset-backed security...
A collateralized debt obligation (CDO) that is backed by other collateralized debt obligations. Differently stated, it is an asset-backed security...
An option to purchase a fixed-income security which is newly issued and attached to another "on the run" fixed-income security....
An option pricing model which was developed by John Cox, Stephen Ross, and Mark Rubinstein. It was designed to address...