Table of Contents

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Spring 2010, 17 (3) 1-2; DOI: https://doi.org/10.3905/jod.2010.17.3.001
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  Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures

  Kevin Dowd

  The Journal of Derivatives Spring 2010, 17 (3) 9-14; DOI: https://doi.org/10.3905/jod.2010.17.3.009
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  Variance Risk Premia in Energy Commodities

  Anders B Trolle and Eduardo S Schwartz

  The Journal of Derivatives Spring 2010, 17 (3) 15-32; DOI: https://doi.org/10.3905/jod.2010.17.3.015
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  Analytical VaR and Expected Shortfall for Quadratic Portfolios

  Meng-Lan Yueh and Mark C.W Wong

  The Journal of Derivatives Spring 2010, 17 (3) 33-44; DOI: https://doi.org/10.3905/jod.2010.17.3.033
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  Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

  Sheldon M Ross and Samim Ghamami

  The Journal of Derivatives Spring 2010, 17 (3) 45-52; DOI: https://doi.org/10.3905/jod.2010.17.3.045
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  Improved Implementation of Local Volatility and Its Application to S&P 500 Index Options

  Greg Orosi

  The Journal of Derivatives Spring 2010, 17 (3) 53-64; DOI: https://doi.org/10.3905/jod.2010.17.3.053
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  A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance

  Massimo Costabile and Ivar Massabó

  The Journal of Derivatives Spring 2010, 17 (3) 65-85; DOI: https://doi.org/10.3905/jod.2010.17.3.065