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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 2012; Volume 19,Issue 3

Article

  • 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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
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The Journal of Derivatives: 19 (3)
The Journal of Derivatives
Vol. 19, Issue 3
Spring 2012
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