Index by author

Article

• 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