The Journal of Derivatives: 23 (2)

The Journal of Derivatives

Winter 2015; Volume 23,Issue 2

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
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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
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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
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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
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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
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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
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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