Table of Contents

Fall 2006; Volume 14,Issue 1

B

  1. Bajaj, Mukesh

    1. A Matrix-Based Lattice Model to Value Employee Stock Options
      Mukesh Bajaj, Sumon C. Mazumdar, Rahul Surana and Sanjay Unni
      The Journal of Derivatives Fall 2006, 14 (1) 9-26; DOI: https://doi.org/10.3905/jod.2006.650161

  2. Brigo, Damiano

    1. Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation
      Damiano Brigo and Massimo Morini
      The Journal of Derivatives Fall 2006, 14 (1) 40-60; DOI: https://doi.org/10.3905/jod.2006.650198

F

  1. Figlewski, Stephen

    1. Open Access
      Editor's Letter
      Stephen Figlewski
      The Journal of Derivatives Fall 2006, 14 (1) 1-2; DOI: https://doi.org/10.3905/jod.2006.650201

M

  1. Mazumdar, Sumon C.

    1. A Matrix-Based Lattice Model to Value Employee Stock Options
      Mukesh Bajaj, Sumon C. Mazumdar, Rahul Surana and Sanjay Unni
      The Journal of Derivatives Fall 2006, 14 (1) 9-26; DOI: https://doi.org/10.3905/jod.2006.650161

  2. Morini, Massimo

    1. Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation
      Damiano Brigo and Massimo Morini
      The Journal of Derivatives Fall 2006, 14 (1) 40-60; DOI: https://doi.org/10.3905/jod.2006.650198

  3. Muck, Matthias

    1. Where Should You Buy Your Options? The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany
      Matthias Muck
      The Journal of Derivatives Fall 2006, 14 (1) 82-96; DOI: https://doi.org/10.3905/jod.2006.650200

N

  1. Nunes, João Pedro Vidal

    1. Barrier Options on Spot LIBOR Rates under Multi–Factor Gaussian HJM Models
      João Pedro Vidal Nunes
      The Journal of Derivatives Fall 2006, 14 (1) 61-81; DOI: https://doi.org/10.3905/jod.2006.650199

S

  1. Surana, Rahul

    1. A Matrix-Based Lattice Model to Value Employee Stock Options
      Mukesh Bajaj, Sumon C. Mazumdar, Rahul Surana and Sanjay Unni
      The Journal of Derivatives Fall 2006, 14 (1) 9-26; DOI: https://doi.org/10.3905/jod.2006.650161

T

  1. Tahani, Nabil

    1. Credit Spread Option Valuation under GARCH
      Nabil Tahani
      The Journal of Derivatives Fall 2006, 14 (1) 27-39; DOI: https://doi.org/10.3905/jod.2006.650197

U

  1. Unni, Sanjay

    1. A Matrix-Based Lattice Model to Value Employee Stock Options
      Mukesh Bajaj, Sumon C. Mazumdar, Rahul Surana and Sanjay Unni
      The Journal of Derivatives Fall 2006, 14 (1) 9-26; DOI: https://doi.org/10.3905/jod.2006.650161
Back to top

Explore our content to discover more relevant research

In this issue

The Journal of Derivatives
Vol. 14, Issue 1
Fall 2006
Sign up for alerts