The Journal of Derivatives: 17 (1)

The Journal of Derivatives

Fall 2009; Volume 17,Issue 1

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Fall 2009, 17 (1) 1-2; DOI: https://doi.org/10.3905/JOD.2009.17.1.001
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A LETTER FROM THE DIRECTOR OF THE IAFE
The Journal of Derivatives Fall 2009, 17 (1) 6; DOI: https://doi.org/10.3905/JOD.2009.17.1.006
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Asymmetric Dependence Implications for Extreme Risk Management
Georges Tsafack

The Journal of Derivatives Fall 2009, 17 (1) 7-20; DOI: https://doi.org/10.3905/JOD.2009.17.1.007
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Analytical Valuation of Barrier Interest Rate Options Under Market Models
Ting-Pin Wu and Son-Nan Chen

The Journal of Derivatives Fall 2009, 17 (1) 21-37; DOI: https://doi.org/10.3905/JOD.2009.17.1.021
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Empirical Properties of Straddle Returns
Felix Goltz and Wan Ni Lai

The Journal of Derivatives Fall 2009, 17 (1) 38-48; DOI: https://doi.org/10.3905/JOD.2009.17.1.038
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A Lattice Approach to Pricing of Multivariate Contingent Claims with Regime Switching
M.I.M Wahab and Chi-Guhn Lee

The Journal of Derivatives Fall 2009, 17 (1) 49-61; DOI: https://doi.org/10.3905/JOD.2009.17.1.049
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Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy
Carole Bernard and Phelim P Boyle

The Journal of Derivatives Fall 2009, 17 (1) 62-76; DOI: https://doi.org/10.3905/JOD.2009.17.1.062