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1 модель оценки опционов, основанная на кривой доходностей
Stock Exchange: yield curve option-pricing modelУниверсальный русско-английский словарь > модель оценки опционов, основанная на кривой доходностей
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Yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. The New York Times Financial Glossary … Financial and business terms
yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. Bloomberg Financial Dictionary … Financial and business terms
Yield curve — This article is about yield curves as used in finance. For the term s use in physics, see Yield curve (physics). Not to be confused with Yield curve spread – see Z spread. The US dollar yield curve as of February 9, 2005. The curve has a typical… … Wikipedia
Monte Carlo methods for option pricing — In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features. [1] The term Monte Carlo method was coined by Stanislaw Ulam in… … Wikipedia
Option-adjusted spread — (OAS) is the flat spread which has to be added to the treasury yield curve in a pricing model (that accounts for embedded options) to discount a security payment to match its market price. OAS is hence model dependent. This concept can be applied … Wikipedia
Cox–Ingersoll–Ross model — Three trajectories of CIR Processes In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of one factor model (short rate model) as it describes interest rate movements as… … Wikipedia
Chen model — In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of three factor model (short rate model) as it describes interest rate movements as driven by three sources of market risk. It was the… … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond … Wikipedia
ГЛОССАРИЙ ТЕРМИНОВ ТОРГОВЛИ ФЬЮЧЕРСАМИ — FUTURES TRADING TERMS: GLOSSARYСловарь Корпорации торговли товарными фьючерсами содержит общепринятые термины, используемые в торговле фьючерсами. Основные термины, данные в указанном глоссарии, приводятся нижеАгрегирование (Aggregation). Принцип … Энциклопедия банковского дела и финансов
Fixed income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio … Wikipedia