The Journal of Derivatives: 16 (2)

The Journal of Derivatives

Winter 2008; Volume 16,Issue 2

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Implied Correlations: Smiles or Smirks?
Senay Agca, Deepak Agrawal and Saiyid Islam

The Journal of Derivatives Winter 2008, 16 (2) 7-35; DOI: https://doi.org/10.3905/JOD.2008.16.2.007
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Barrier Option Pricing Using Adjusted Transition Probabilities
Giovanni Barone-Adesi, Nicola Fusari and John Theal

The Journal of Derivatives Winter 2008, 16 (2) 36-53; DOI: https://doi.org/10.3905/JOD.2008.16.2.036
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A New Approach to Comparing VaR Estimation Methods
Christophe Pérignon and Daniel R Smith

The Journal of Derivatives Winter 2008, 16 (2) 54-66; DOI: https://doi.org/10.3905/JOD.2008.16.2.054
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Optimal Derivative Strategies with Discrete Rebalancing
Nicole Branger, Beate Breuer and Christian Schlag

The Journal of Derivatives Winter 2008, 16 (2) 67-84; DOI: https://doi.org/10.3905/JOD.2008.16.2.067
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Credit Risk Model with Lagged Information
Jaewon Choi

The Journal of Derivatives Winter 2008, 16 (2) 85-93; DOI: https://doi.org/10.3905/JOD.2008.16.2.085