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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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Table of Contents

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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
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The Journal of Derivatives: 17 (3)
The Journal of Derivatives
Vol. 17, Issue 3
Spring 2010
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