The Journal of Derivatives: 22 (2)

The Journal of Derivatives

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
You have access
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
You have access
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
You have access
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
You have access
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
You have access
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
You have access
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

Main menu

User menu

Search

The Journal of Derivatives

Table of Contents

Explore our content to discover more relevant research

In this issue

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Table of Contents

Explore our content to discover more relevant research

In this issue

Stay Connected