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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

Fall 2011; Volume 19,Issue 1
  • 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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
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The Journal of Derivatives: 19 (1)
The Journal of Derivatives
Vol. 19, Issue 1
Fall 2011
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