An option that is written on a tranche- that is, one in which a tranche is used as underlying. More...

A path-dependent option in which the payoff is based on an average of underlying asset prices, interest rates, indices, or...

An arbitrage technique that involves trading between the futures and spot markets by buying the underlying of a futures contract...

A diagonal call spread which involves selling a lower-strike call option and buying a higher-strike call option, with the overall...

One of the multiple tools that measure how an option's price and risk are affected by the underlying parameter on...

A credit derivative in which the underlying is a portfolio of credit names (credit portfolios). This type of derivatives is...

A credit portfolio derivative, specifically a portfolio default swap in which the protection buyer may change the actual composition of...

A risk-neutral measure that is used to price derivative contingent claims such as average rate options by implementing stochastic discount…

An option that expires or pays off if the underlying hits or exceeds the outstrike price. For example, in the…

A variant on an off-market swap in which the fixed rate increases according to a predetermined schedule over the life…