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

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

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

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

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