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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

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

  • You have access
    A New Model for Pricing Collateralized Financial Derivatives
    Tim Xiao
    The Journal of Derivatives Summer 2017, 24 (4) 8-20; DOI: https://doi.org/10.3905/jod.2017.24.4.008

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

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    The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities
    Riccardo Rebonato
    The Journal of Derivatives Summer 2017, 24 (4) 21-51; DOI: https://doi.org/10.3905/jod.2017.24.4.021

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

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    A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds
    Jr-Yan Wang and Tian-Shyr Dai
    The Journal of Derivatives Summer 2017, 24 (4) 52-79; DOI: https://doi.org/10.3905/jod.2017.24.4.052

Calibrating Short Interest Rate Models in Negative Rate Environments

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    Calibrating Short Interest Rate Models in Negative Rate Environments
    Vincenzo Russo and Frank J. Fabozzi
    The Journal of Derivatives Summer 2017, 24 (4) 80-92; DOI: https://doi.org/10.3905/jod.2017.24.4.080

Pricing an Accumulator with Continuous or Discrete Barrier

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    Pricing an Accumulator with Continuous or Discrete Barrier
    Ling Xin, Philip L.H. Yu and Kin Lam
    The Journal of Derivatives Summer 2017, 24 (4) 93-107; DOI: https://doi.org/10.3905/jod.2017.24.4.093

Beer Annuities: Hold the Interest and Principal

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    Beer Annuities: Hold the Interest and Principal
    Carlos E. Ortiz, Charles A. Stone and Anne Zissu
    The Journal of Derivatives Summer 2017, 24 (4) 108-114; DOI: https://doi.org/10.3905/jod.2017.24.4.108
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The Journal of Derivatives: 24 (4)
The Journal of Derivatives
Vol. 24, Issue 4
Summer 2017
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