Index by author

Article

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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