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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

Winter 2014; Volume 22,Issue 2
  • You have access
    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
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The Journal of Derivatives: 22 (2)
The Journal of Derivatives
Vol. 22, Issue 2
Winter 2014
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