The Journal of Derivatives: 19 (3)

The Journal of Derivatives

Spring 2012; Volume 19,Issue 3

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Spring 2012, 19 (3) 1-2; DOI: https://doi.org/10.3905/jod.2012.19.3.001
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Correlation Smile, Volatility Skew, and Systematic Risk Sensitivity of Tranches
Alfred Hamerle, Andreas Igl and Kilian Plank

The Journal of Derivatives Spring 2012, 19 (3) 8-27; DOI: https://doi.org/10.3905/jod.2012.19.3.008
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Determinants of Trading Activity on the
Single-Stock Futures Market: Evidence from the
Eurex Exchange
Jedrzej Bialkowski and Jacek Jakubowski

The Journal of Derivatives Spring 2012, 19 (3) 29-47; DOI: https://doi.org/10.3905/jod.2012.19.3.029
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A Closed-Form Pricing Formula for Mortgages Incorporating Termination Hazard Rates and Recovery Rate as Correlated Stochastic Processes with Jump Components
Ming-Shann Tsai and Shu-Ling Chiang

The Journal of Derivatives Spring 2012, 19 (3) 49-68; DOI: https://doi.org/10.3905/jod.2012.19.3.049
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Charm-Adjusted Delta and Delta Gamma Hedging
Miklavz Mastinsek

The Journal of Derivatives Spring 2012, 19 (3) 69-76; DOI: https://doi.org/10.3905/jod.2012.19.3.069
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A Note to Enhance the BPW Model for the Pricing of Basket and Spread Options
Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu

The Journal of Derivatives Spring 2012, 19 (3) 77-82; DOI: https://doi.org/10.3905/jod.2012.19.3.077