Table of Contents

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
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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