A technique used to test how well (or badly) the Value at Risk (VaR) estimates would have performed using historical...

A best-of option whose payoff at maturity is equal to whichever is higher of two values: zero or the maximum...

A commodity swap in which the floating rate payment depends on the underlying price of a given commodity falling within...

A call or put option whereby the holder has the retroactive right to purchase (if a call) or sell (if...

An option to exercise on a bundle of long forwards. The forwards have a maturity date identical to the option’s...

An rainbow option (also known as an either-or option or an alternative option) whose payoff is based on the  performance...

An rainbow option (also known as an either-or option or an alternative option) whose payoff is based on the performance...

A futures contract which is entered into by an investor willing to buy or sell a specified bond for a...

A forward contract in which the seller (the short) agrees to deliver a specific bond to the buyer (the long)...

The differential equation that is used, in the Black-Scholes model, to calculate the price or theoretical value of a European...