A credit derivative that consists of components or has features not directly relating to the core or basic contract. Examples...
A credit derivative (specifically, a hybrid credit derivative) that entails the exchange (swapping) of two different legs of payment, one...
An option valuation model which is used for pricing foreign currency options. It is similar in form to the Black-Scholes…
A price swap contract whereby a natural gas producer sells its gas under a gas sales contract that pays a…
An interest rate swap in which there is, in contrast to a regular swap (vanilla swap), no dependency between its…
A combination of a call option and the underlying asset. The buy-writer becomes a fixed income investor if the underlying…
A straightforward currency swap in which the two counterparties simultaneously exchange currencies at the spot and forward rates. This swap…
An arbitrage technique that is based on the creation of a synthetic foreign exchangeforward contract using two zero-coupon debt instruments…
A Parisian option in which the holder’s possibility and right to exercise is enlivened if there is either an excursion…
A Parisian option in which the holder’s possibility and right to exercise dies out if there is either an excursion…