The spread that would be realized over the whole risk-free spot rate curve if a given risky security such as...
A second-order Greek that that relates the rate of change in a derivative's rho to changes in volatility. In other...
A second-order Greek that that relates the rate of change in a derivative's rho to changes in volatility. In other...
A volatility measure which is premised on "time-varying" volatility and factors' co-dependency. In other words, the underlying volatility and mutual...
A volatility measure which is premised on "time-varying" volatility and factors' co-dependency. In other words, the underlying volatility and mutual...
The average increase per unit of time in a stochastic variable. Typically, the drift cannot be detected amid all the...
A cap which is placed on the payment of one or both counterparties to a volatility swap. This cap usually...
It generally denotes volatility expressed or represented as a percentage. For example, "one sigma level" refers to the real change...
The absolute change in option price in response to a percentage point change in volatility. Tau is used by traders...
A measure of volatility which supposes that volatility is a random market risk variable, rather than a known and constant...