Table of Contents

Summer 2017; Volume 24,Issue 4

Editor’s Letter

  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Summer 2017, 24 (4) 1-2; DOI: https://doi.org/10.3905/jod.2017.24.4.001

A New Model for Pricing Collateralized Financial Derivatives

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds

Calibrating Short Interest Rate Models in Negative Rate Environments

Pricing an Accumulator with Continuous or Discrete Barrier

Beer Annuities: Hold the Interest and Principal

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The Journal of Derivatives: 24 (4)
The Journal of Derivatives
Vol. 24, Issue 4
Summer 2017
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