An interest rate derivative is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate.
Types. These are the basic building blocks for most interest rate derivatives and can be described as vanilla (simple, basic derivative structures, usually most ...
Exotic interest rate option Definition. An non-vanilla interest rate derivative security; which can usually be expressed in terms of vanilla interest rate derivatives ...
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An area yield options contract is a contract entitling the holder to receive a payment when the area yield is below the put or above the call option strike yield.
Topic Title: Exotic interest rate option pricing by Levy Processes Created On Thu Jun 12, 03 01:25 PM
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The following outline is provided as an overview of and topical guide to finance: Finance – addresses the ways in which individuals and organizations raise and ...