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Credit Default Swap Forward

A forward contract whose underlying is a credit default swap (CDS). It is a contract to take a buyer’s position…

Forward Spread

The difference between two forward rates or two forward prices. This spread can be used to calculate the payoff and...

Ho and Lee Option Model

An interest rate option model (originally appeared in 1986) which uses short rates in pricing interest rate derivatives such as...

HJM Model

A multi-factor valuation model which is designed to price interest rate options (broadly interest rate derivatives) and specific credit derivatives...

Heath-Jarrow-Morton Model

A multi-factor valuation model which is designed to price interest rate options (broadly interest rate derivatives) and specific credit derivatives...