An option contract whose payoff depends on the price of an regular option at a single future time. For instance,...
A total return swap which has inflation total return as underlying. It entails the exchange of inflation total return for...
A swap which entails the exchange of the total rate of return of a bond market, or a segment within...
The price of credit risk quoted in a credit default swap. This price is derived indirectly from the credit risk...
A total return index swap in which the reference index (or asset) is a mortgage index. The swap is marked...
A hybrid derivative structure in which the coupon is determined as the difference between the previous coupon and a predefined...
A type of credit derivative in which the two counterparties agree to exchange the total return on a specified asset...
A credit derivative (swap) in which the total return on a reference obligation such as a corporate bond (or an...
An equity-based swap under which one counterparty pays the total performance of a particular share of stock or basket of...
A barrier option that aims to prevent a knock out. Pricing of such an option depends on the amount of...