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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

Fall 2015; Volume 23,Issue 1
  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Fall 2015, 23 (1) 1-3; DOI: https://doi.org/10.3905/jod.2015.23.1.001
  • You have access
    A GARCH Parameterization of the Volatility Surface
    Thomas Mazzoni
    The Journal of Derivatives Fall 2015, 23 (1) 9-24; DOI: https://doi.org/10.3905/jod.2015.23.1.009
  • You have access
    Interest Rates and Credit Spread Dynamics
    Robert Neal, Douglas Rolph, Brice Dupoyet and Xiaoquan Jiang
    The Journal of Derivatives Fall 2015, 23 (1) 25-39; DOI: https://doi.org/10.3905/jod.2015.23.1.025
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    Estimating Option-Implied Risk-Neutral Densities: A Novel Parametric Approach
    Greg Orosi
    The Journal of Derivatives Fall 2015, 23 (1) 41-61; DOI: https://doi.org/10.3905/jod.2015.23.1.041
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    Pricing TARNs Using a Finite Difference Method
    Xiaolin Luo and Pavel V. Shevchenko
    The Journal of Derivatives Fall 2015, 23 (1) 62-72; DOI: https://doi.org/10.3905/jod.2015.23.1.062
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    Corporate Vulnerability Index as a Fear Gauge? Exploring the Contagion Effect between U.S. and Korean Markets
    Jun Sik Kim, Doojin Ryu and Sung Won Seo
    The Journal of Derivatives Fall 2015, 23 (1) 73-88; DOI: https://doi.org/10.3905/jod.2015.23.1.073
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    Risk-Neutral Valuation of Real Estate Derivatives
    David van Bragt, Marc K. Francke, Stefan N. Singor and Antoon Pelsser
    The Journal of Derivatives Fall 2015, 23 (1) 89-110; DOI: https://doi.org/10.3905/jod.2015.23.1.089
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The Journal of Derivatives: 23 (1)
The Journal of Derivatives
Vol. 23, Issue 1
Fall 2015
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