Options whose market price is very near to the strike price (exercise price)- very much "near in the money", so...
A volatility measure which is premised on "time-varying" volatility and factors' co-dependency. In other words, the underlying volatility and mutual...
A basket default swap whereby a payout by the protection seller is triggered only following a second default from among...
An option replication which is used to hedge a given portfolio involving the set up of another portfolio of approximately...
A type of credit default swap (CDS) where there is only one reference entity. The reference entity is usually a...
Abbreviation for swap transferring risk with participating element; a hedging tool that combines an interest rate swap with a participating...
The basis points which are added to the yield at each point on the spot treasury rate curve marking the...
A method of hedging an option position with a position in vanilla options without altering or adjusting components for the...
The percentage difference between a barrier option's strike and a set trigger (knock-in or knock-out barrier). This tool is used...
A swap spread that is created synthetically by buying (selling) on-the-run Treasuries (cash) and selling (buying) the DV01 equivalent of...