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In the pricing of financial instruments, the value determined by mathematical modelling of the instruments’ value.
Also used as a defined term in US accounting standards as ‘fair-value accounting’ and ‘fair-value hedges’ as in Financial Accounting Standards Board Statement 133 (FAS 133). A fair-value hedge is a hedge of the exposure to changes in the fair value of a recognised asset or liability, or of an unrecognised firm commitment, which are attributable to a particular risk.
* see also Financial Accounting Standards Board Statement 133 (FAS 133)