Table of Contents

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Summer 2015, 22 (4) 1-2; DOI: https://doi.org/10.3905/jod.2015.22.4.001
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  Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

  Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov and Barry Schachter

  The Journal of Derivatives Summer 2015, 22 (4) 10-25; DOI: https://doi.org/10.3905/jod.2015.22.4.010
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  Modeling Term Structure of Default Correlation

  Sira Suchintabandid

  The Journal of Derivatives Summer 2015, 22 (4) 26-36; DOI: https://doi.org/10.3905/jod.2015.22.4.026
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  Credit Exposure and Valuation of Revolving Credit Lines

  Robert A. Jones and Yan Wendy Wu

  The Journal of Derivatives Summer 2015, 22 (4) 37-53; DOI: https://doi.org/10.3905/jod.2015.22.4.037
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  What We Can Learn from Pricing 139,879 Individual Stock Options

  Lars Stentoft

  The Journal of Derivatives Summer 2015, 22 (4) 54-78; DOI: https://doi.org/10.3905/jod.2015.22.4.054
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  Mispricing and Arbitrage in CDS Auctions

  Sudip Gupta and Rangarajan K. Sundaram

  The Journal of Derivatives Summer 2015, 22 (4) 79-91; DOI: https://doi.org/10.3905/jod.2015.22.4.079
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  The Valuation of Compound Options: A Correction and an Extension

  Ren-Raw Chen and Wei He

  The Journal of Derivatives Summer 2015, 22 (4) 92-104; DOI: https://doi.org/10.3905/jod.2015.22.4.092
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  Book Review

  Bruce Tuckman

  The Journal of Derivatives Summer 2015, 22 (4) 105-106; DOI: https://doi.org/10.3905/jod.2015.22.4.105