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Multi-Beta CAPM

A capital asset pricing model (CAPM) which views risk as coming from several sources. More specifically, in this model, systematic...

Multi-Beta Capital Asset Pricing Model

A capital asset pricing model (CAPM) which views risk as coming from several sources. More specifically, in this model, systematic...

Jump Process

A stochastic process which describes the movements in the price of a derivative's underlying through time. In this process, the...

Hull-White Option Model

A valuation model which is used to price interest rate options using mean reversion to generate a future interest rate....

Ho and Lee Option Model

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

Option Pricing Model

A mathematical model which is designed and used to figure out the optimal (theoretical) value of an option based on...

HJM Model

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

Heath-Jarrow-Morton Model

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

Wiener Process

A Gaussian stochastic process (a continuous-time stochastic process) that has independent increments and a vanishing mean, and it features an...

Brownian Motion

A type of Markov process; a stochastic process, i.e., a group of random variables defined on the same probability space...