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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

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
  • 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
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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
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The Journal of Derivatives: 23 (2)
The Journal of Derivatives
Vol. 23, Issue 2
Winter 2015
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