The Journal of Derivatives: 17 (3)

The Journal of Derivatives

Spring 2010; Volume 17,Issue 3

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