Index by author

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
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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