An interest rate swap (fixed for floating rate swap) in which the floating rate is calculated by raising the LIBOR...
A swap in which one counterparty makes a fixed payment to the other counterparty against a floating spread that corresponds...
A valuation model which is used to price interest rate options using mean reversion to generate a future interest rate....
An interest rate option model (originally appeared in 1986) which uses short rates in pricing interest rate derivatives such as...
The empirical relation which exists between implied volatility and strike prices (it could be also observed between implied volatility and...
A mathematical model which is designed and used to figure out the optimal (theoretical) value of an option based on...
A multi-factor valuation model which is designed to price interest rate options (broadly interest rate derivatives) and specific credit derivatives...
A multi-factor valuation model which is designed to price interest rate options (broadly interest rate derivatives) and specific credit derivatives...
A u-shaped pattern, resembling a smile, which is formed by plotting options’ implied volatilities against exercise prices. In general, implied...
An inflation-linked derivative where the inflation rate is either paid on an annual basis or with a single amount at...