Table of Contents

Fall 2007; Volume 15,Issue 1

B

  1. Benth, Fred Espen

    1. Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
      Fred Espen Benth, Steen Koekkebakker and Fridthjof Ollmar
      The Journal of Derivatives Fall 2007, 15 (1) 52-66; DOI: https://doi.org/10.3905/jod.2007.694791

F

  1. Fan, Rong

    1. On Pricing and Hedging in the Swaption Market
      Rong Fan, Anurag Gupta and Peter Ritchken
      The Journal of Derivatives Fall 2007, 15 (1) 9-33; DOI: https://doi.org/10.3905/jod.2007.694699

  2. Figlewski, Stephen

    1. Open Access
      Editor's Letter
      Stephen Figlewski
      The Journal of Derivatives Fall 2007, 15 (1) 7-8; DOI: https://doi.org/10.3905/jod.2007.694821

G

  1. Gotoh, Jun-Ya

    1. A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
      Hui Jin, Jun-Ya Gotoh and Ushio Sumita
      The Journal of Derivatives Fall 2007, 15 (1) 67-85; DOI: https://doi.org/10.3905/jod.2007.694793

  2. Gupta, Anurag

    1. On Pricing and Hedging in the Swaption Market
      Rong Fan, Anurag Gupta and Peter Ritchken
      The Journal of Derivatives Fall 2007, 15 (1) 9-33; DOI: https://doi.org/10.3905/jod.2007.694699

J

  1. Jin, Hui

    1. A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
      Hui Jin, Jun-Ya Gotoh and Ushio Sumita
      The Journal of Derivatives Fall 2007, 15 (1) 67-85; DOI: https://doi.org/10.3905/jod.2007.694793

K

  1. Koekkebakker, Steen

    1. Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
      Fred Espen Benth, Steen Koekkebakker and Fridthjof Ollmar
      The Journal of Derivatives Fall 2007, 15 (1) 52-66; DOI: https://doi.org/10.3905/jod.2007.694791

  2. Korn, Olaf

    1. Do Lead-Lag Effects Affect Derivative Pricing?
      Olaf Korn and Marliese Uhrig-Homburg
      The Journal of Derivatives Fall 2007, 15 (1) 34-51; DOI: https://doi.org/10.3905/jod.2007.694701

O

  1. Ohnishi, Masamtsu

    1. Properties of the Chooser Flexible Cap
      Masamtsu Ohnishi and Yasuhiro Tamba
      The Journal of Derivatives Fall 2007, 15 (1) 86-102; DOI: https://doi.org/10.3905/jod.2007.694795

  2. Ollmar, Fridthjof

    1. Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
      Fred Espen Benth, Steen Koekkebakker and Fridthjof Ollmar
      The Journal of Derivatives Fall 2007, 15 (1) 52-66; DOI: https://doi.org/10.3905/jod.2007.694791

R

  1. Ritchken, Peter

    1. On Pricing and Hedging in the Swaption Market
      Rong Fan, Anurag Gupta and Peter Ritchken
      The Journal of Derivatives Fall 2007, 15 (1) 9-33; DOI: https://doi.org/10.3905/jod.2007.694699

S

  1. Sumita, Ushio

    1. A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
      Hui Jin, Jun-Ya Gotoh and Ushio Sumita
      The Journal of Derivatives Fall 2007, 15 (1) 67-85; DOI: https://doi.org/10.3905/jod.2007.694793

T

  1. Tamba, Yasuhiro

    1. Properties of the Chooser Flexible Cap
      Masamtsu Ohnishi and Yasuhiro Tamba
      The Journal of Derivatives Fall 2007, 15 (1) 86-102; DOI: https://doi.org/10.3905/jod.2007.694795

U

  1. Uhrig-Homburg, Marliese

    1. Do Lead-Lag Effects Affect Derivative Pricing?
      Olaf Korn and Marliese Uhrig-Homburg
      The Journal of Derivatives Fall 2007, 15 (1) 34-51; DOI: https://doi.org/10.3905/jod.2007.694701
Back to top

Explore our content to discover more relevant research

In this issue

The Journal of Derivatives
Vol. 15, Issue 1
Fall 2007
Sign up for alerts