Table of Contents

Article

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  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Winter 2014, 22 (2) 1-2; DOI: https://doi.org/10.3905/jod.2014.22.2.001
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  Bankruptcy Probabilities Inferred from Option Prices

  Stephen J. Taylor, Chi-Feng Tzeng and Martin Widdicks

  The Journal of Derivatives Winter 2014, 22 (2) 8-31; DOI: https://doi.org/10.3905/jod.2014.22.2.008
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  Hedging Through a Limit Order Book with Varying Liquidity

  Rossella Agliardi and Ramazan Gençay

  The Journal of Derivatives Winter 2014, 22 (2) 32-49; DOI: https://doi.org/10.3905/jod.2014.22.2.032
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  A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall

  Ming-Hua Hsieh, Wei-Cheng Liao and Chuen-Lung Chen

  The Journal of Derivatives Winter 2014, 22 (2) 50-66; DOI: https://doi.org/10.3905/jod.2014.22.2.050
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  Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method

  Arturo Leccadito, Pietro Toscano and Radu S. Tunaru

  The Journal of Derivatives Winter 2014, 22 (2) 67-81; DOI: https://doi.org/10.3905/jod.2014.22.2.067
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  Pricing Interest-Rate Derivatives with Piecewise Multilinear Interpolations and Transition Parameters

  Hatem Ben-Ameur, Lotfi Karoui and Walid Mnif

  The Journal of Derivatives Winter 2014, 22 (2) 82-109; DOI: https://doi.org/10.3905/jod.2014.22.2.082
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  Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

  Arturo Cifuentes and Bernardo K. Pagnoncelli

  The Journal of Derivatives Winter 2014, 22 (2) 110-118; DOI: https://doi.org/10.3905/jod.2014.22.2.110