The Journal of Derivatives: 16 (4)

The Journal of Derivatives

Summer 2009; Volume 16,Issue 4

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Summer 2009, 16 (4) 1-2; DOI: https://doi.org/10.3905/JOD.2009.16.4.001
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A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
X. Burtschell, Jonathan Gregory and Jean-Paul Laurent

The Journal of Derivatives Summer 2009, 16 (4) 9-37; DOI: https://doi.org/10.3905/JOD.2009.16.4.009
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Cross-Sectional Analysis of Risk-Neutral Skewness
Stephen J Taylor, Pradeep K Yadav and Yuanyuan Zhang

The Journal of Derivatives Summer 2009, 16 (4) 38-52; DOI: https://doi.org/10.3905/JOD.2009.16.4.038
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A Multi-Factor Cross-Currency LIBOR Market Model
Wolfgang Benner, Lyudmil Zyapkov and Stephan Jortzik

The Journal of Derivatives Summer 2009, 16 (4) 53-71; DOI: https://doi.org/10.3905/JOD.2009.16.4.053
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Pricing Parisian Options by Generating Functions
Bing-Qing Li and Hai-Jian Zhao

The Journal of Derivatives Summer 2009, 16 (4) 72-81; DOI: https://doi.org/10.3905/JOD.2009.16.4.072
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On Perpetual American Strangles
Franck Moraux

The Journal of Derivatives Summer 2009, 16 (4) 82-97; DOI: https://doi.org/10.3905/JOD.2009.16.4.082