Index by author

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Fall 2011, 19 (1) 1-2; DOI: https://doi.org/10.3905/jod.2011.19.1.001
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  The Performance of Johnson Distributions for Computing
  Value at Risk and Expected Shortfall

  Jean-Guy Simonato

  The Journal of Derivatives Fall 2011, 19 (1) 7-24; DOI: https://doi.org/10.3905/jod.2011.19.1.007
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  An Efficient Lattice Algorithm for the LIBOR Market Model

  Tim Xiao

  The Journal of Derivatives Fall 2011, 19 (1) 25-40; DOI: https://doi.org/10.3905/jod.2011.19.1.025
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  Valuation of CMS Spread Options with Nonzero Strike
  Rates in the LIBOR Market Model

  Ting-Pin Wu and Son-Nan Chen

  The Journal of Derivatives Fall 2011, 19 (1) 41-55; DOI: https://doi.org/10.3905/jod.2011.19.1.041
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  A Survey on the Usage of Derivatives and Their Effect
  on Cost of Equity Capital

  Rashid Ameer, Rosiatimah binti Mohd Isa and Azrul bin Abdullah

  The Journal of Derivatives Fall 2011, 19 (1) 56-71; DOI: https://doi.org/10.3905/jod.2011.19.1.056
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  A Multi-Parameter Extension of Figlewski’s Option-Pricing Formula

  Greg Orosi

  The Journal of Derivatives Fall 2011, 19 (1) 72-82; DOI: https://doi.org/10.3905/jod.2011.19.1.072