Table of Contents

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Winter 2015, 23 (2) 1-3; DOI: https://doi.org/10.3905/jod.2015.23.2.001
• You have access

  A Simple Model of Correlated Defaults with Application to Repo Portfolios

  Dariusz Gatarek and Juliusz Jabłecki

  The Journal of Derivatives Winter 2015, 23 (2) 8-23; DOI: https://doi.org/10.3905/jod.2015.23.2.008
• You have access

  Interest Rate Swap Credit Valuation Adjustment

  Jakub Černý and Jiří Witzany

  The Journal of Derivatives Winter 2015, 23 (2) 24-35; DOI: https://doi.org/10.3905/jod.2015.23.2.024
• You have access

  Inventory Effects, the Winner’s Curse, and Bid Shading in Credit Default Swap Auction Outcomes

  Sudip Gupta and Rangarajan K. Sundaram

  The Journal of Derivatives Winter 2015, 23 (2) 36-52; DOI: https://doi.org/10.3905/jod.2015.23.2.036
• You have access

  Pricing Bounds on Quanto Options

  Yukihiro Tsuzuki

  The Journal of Derivatives Winter 2015, 23 (2) 53-61; DOI: https://doi.org/10.3905/jod.2015.23.2.053
• You have access

  The Role of Retail and Institutional Traders in Options Markets

  Elvis Jarnecic, Kevin Liu and George Issa

  The Journal of Derivatives Winter 2015, 23 (2) 62-75; DOI: https://doi.org/10.3905/jod.2015.23.2.062
• You have access

  Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?

  Yifan Yang, Frank J. Fabozzi and Michele Leonardo Bianchi

  The Journal of Derivatives Winter 2015, 23 (2) 76-89; DOI: https://doi.org/10.3905/jod.2015.23.2.076