| ATM | At-the-money: strike equals spot |
| BAW | Barone-Adesi-Whaley: analytical American option approximation |
| BS | Black-Scholes model |
| CDS | Credit default swap |
| ContractSpec | Serializable AST for the contract DSL |
| CVA | Credit valuation adjustment |
| DVA | Debit valuation adjustment |
| FD | Finite difference method |
| FFT | Fast Fourier transform (Carr-Madan pricing) |
| FVA | Funding valuation adjustment |
| GBM | Geometric Brownian motion |
| Greeks | Option sensitivities (delta, gamma, vega, theta, rho) |
| KVA | Capital valuation adjustment |
| LSM | Longstaff-Schwartz method for American options |
| MC | Monte Carlo simulation |
| OTM | Out-of-the-money |
| SABR | Stochastic Alpha Beta Rho volatility model |
| T-F | Tsiveriotis-Fernandes convertible bond decomposition |
| VaR | Value at Risk |
| XVA | Collective term for valuation adjustments (CVA, DVA, FVA, KVA) |