The Journal of Derivatives

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

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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
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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
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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
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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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