The Journal of Derivatives: 19 (1)

The Journal of Derivatives

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
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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