Industry WIKI

The Bachelier model is a model of an asset price under Brownian motion presented by Louis Bachelier in his PhD thesis The Theory of Speculation (French: Théorie de la spéculation), published 1900. It is also called the normal model equivalently (as opposed to log-normal model or Black–Scholes model). One early criticism of the Bachelier model is that the probability distribution which h

Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst

In finance, an interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds the agreed strike price. An example of a cap would be an agreement to receive a payment for each month the LIBOR rate exceeds 2.5%.

Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that needs to be modified for the Black–Scholes formula to fit market prices. Generally, for a given expiration, options whose strike price differs substantially from the underlying asset's forward price tend to have prices that deviate from their expected pri