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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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Table of Contents

Summer 2005; Volume 12,Issue 4

Editorial

  • Open Access
    Editor's Letter
    Stephen Figlewski
    The Journal of Derivatives Summer 2005, 12 (4) 1-2; DOI: https://doi.org/10.3905/jod.2005.517187

Primary Article

  • You have access
    Modeling Default Dependence with Threshold Models
    Ludger Overbeck and Wolfgang Schmidt
    The Journal of Derivatives Summer 2005, 12 (4) 10-19; DOI: https://doi.org/10.3905/jod.2005.517182
  • You have access
    Efficient Control Variates and Strategies for Bermudan Swaptions in a LIBOR Market Model
    Malene Shin Jensen and Mikkel Svenstrup
    The Journal of Derivatives Summer 2005, 12 (4) 20-33; DOI: https://doi.org/10.3905/jod.2005.517183
  • You have access
    Enhancing the Accuracy of Pricing American and Bermudan Options
    Peter W. Duck, David P. Newton, Martin Widdicks and Yan Leung
    The Journal of Derivatives Summer 2005, 12 (4) 34-44; DOI: https://doi.org/10.3905/jod.2005.517184
  • You have access
    A New Procedure for Pricing Parisian Options
    Carole Bernard, Olivier Le Courtois and François Quittard-Pinon
    The Journal of Derivatives Summer 2005, 12 (4) 45-53; DOI: https://doi.org/10.3905/jod.2005.517185
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    Implied Volatility Indexes and Daily Value at Risk Models
    Pierre Giot
    The Journal of Derivatives Summer 2005, 12 (4) 54-64; DOI: https://doi.org/10.3905/jod.2005.517186
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The Journal of Derivatives
Vol. 12, Issue 4
Summer 2005
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