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Glossary

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Mean Reversion:
The phenomenon by which prices or rates (i.e. interest rates, volatility) appear to move back to a long-run average level.

Medium-Term Note:
This is a type of bond typically issued by regular borrowers in the capital markets, such as banks and large corporations.

Monte Carlo Simulation:
A method of determining the value of a derivative by generating the potential future outcomes for the underlying variable(s) over a very large number of random simulations. The discounted average outcome of the simulations gives an approximation of the derivative’s value. This method may be used to value complex derivatives, particularly path-dependent options, for which closed-form solutions have not been or cannot be found. The principal difficulty with Monte Carlo analysis is that it can be very computationally intensive.
See also: Path Dependent Option

The terms and definitions contained in this Glossary were devleoped by Incapital LLC.  These definitions may differ from securities industry-related definitions for common terms.  The definitions contained herein should be utilized with respect to the terms used in the Structured Investment website.
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