Table of Contents

Primary Article

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  Estimation of VaR with Bias-Corrected Forecasts of Conditional Volatility

  Richard D.F. Harris and Jian Shen

  The Journal of Derivatives Summer 2004, 11 (4) 10-20; DOI: https://doi.org/10.3905/jod.2004.412359
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  Contingent Claims Valuation When Capital Structure Includes Options Liability

  Athanasios Episcopos

  The Journal of Derivatives Summer 2004, 11 (4) 21-32; DOI: https://doi.org/10.3905/jod.2004.412360
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  Internal Model-Based Capital Regulation and Bank Risk-Taking Incentives

  Paul H. Kupiec

  The Journal of Derivatives Summer 2004, 11 (4) 33-42; DOI: https://doi.org/10.3905/jod.2004.412361
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  Quoting Multiasset Equity Options in the Presence of Errors from Estimating Correlations

  Matthias R. Fengler and Peter Schwendner

  The Journal of Derivatives Summer 2004, 11 (4) 43-54; DOI: https://doi.org/10.3905/jod.2004.412362
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  Curtailing the Range for Lattice and Grid Methods

  Ari D. Andricopoulos, Martin Widdicks, Peter W. Duck and David P. Newton

  The Journal of Derivatives Summer 2004, 11 (4) 55-61; DOI: https://doi.org/10.3905/jod.2004.412363
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  Fund of Fund Securitizations

  Charles A. Stone and Anne Zissu

  The Journal of Derivatives Summer 2004, 11 (4) 62-68; DOI: https://doi.org/10.3905/jod.2004.412364