The Journal of Derivatives: 21 (3)

The Journal of Derivatives

Spring 2014; Volume 21,Issue 3

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Spring 2014, 21 (3) 1-3; DOI: https://doi.org/10.3905/jod.2014.21.3.001
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Aggregating Information in Option Transactions
Richard Holowczak, Jianfeng Hu and Liuren Wu

The Journal of Derivatives Spring 2014, 21 (3) 9-23; DOI: https://doi.org/10.3905/jod.2014.21.3.009
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Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Samim Ghamami and Lisa R. Goldberg

The Journal of Derivatives Spring 2014, 21 (3) 24-35; DOI: https://doi.org/10.3905/jod.2014.21.3.024
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Constant Proportion Portfolio Insurance: Discrete-Time Trading and Gap Risk Coverage
Cathrine Jessen

The Journal of Derivatives Spring 2014, 21 (3) 36-53; DOI: https://doi.org/10.3905/jod.2014.21.3.036
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The VIX Futures Basis: Evidence and Trading Strategies
David P. Simon and Jim Campasano

The Journal of Derivatives Spring 2014, 21 (3) 54-69; DOI: https://doi.org/10.3905/jod.2014.21.3.054
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Intraday Trading and Bid–Ask Spread Characteristics for SPX and SPY Options
Suchismita Mishra and Robert T. Daigler

The Journal of Derivatives Spring 2014, 21 (3) 70-84; DOI: https://doi.org/10.3905/jod.2014.21.3.070
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The Valuation of Market-Leveraged Stock Units
John Hull and Alan White

The Journal of Derivatives Spring 2014, 21 (3) 85-90; DOI: https://doi.org/10.3905/jod.2014.21.3.085