A measure of risk (value at risk or VaR) that assumes market-related factors follow certain stochastic processes (as defined under...

A measure of risk (value at risk or VaR) that assumes market-related factors follow certain stochastic processes (as defined under...

A financial model used to value interest rate options based on a single factor (a single stochastic input), which is...

An option pricing model which was developed by John Cox, Stephen Ross, and Mark Rubinstein. It was designed to address...

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

An interest rate derivative pricing model that was developed by Black and Karasinski in 1991 in an attempt to overcome...

An occasional move in the price of a stock (underlying an option) over a specific period of time. Jumps are...

It stands for variance gamma model; an option pricing model which is based purely on jumps between successive nodes where...

An option pricing model which is based purely on jumps between successive nodes where small jumps occur often and large...

A valuation model that allows for jumps in underlying assets' prices superimposed on to a diffusion process such as geometric...