Table of Contents

Primary Article

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  An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits

  Tibor Janosi, Robert A Jarrow and Ferdinando Zullo

  The Journal of Derivatives Fall 1999, 7 (1) 8-31; DOI: https://doi.org/10.3905/jod.1999.319107
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  Importance Sampling in the Heath-Jarrow-Morton Framework

  Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin

  The Journal of Derivatives Fall 1999, 7 (1) 32-50; DOI: https://doi.org/10.3905/jod.1999.319109
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  Pricing Foreign Currency and Cross-Currency Options Under GARCH

  Jin-chuan Duan and Jason z. Wei

  The Journal of Derivatives Fall 1999, 7 (1) 51-63; DOI: https://doi.org/10.3905/jod.1999.319110
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  A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns

  James W. Taylor

  The Journal of Derivatives Fall 1999, 7 (1) 64-78; DOI: https://doi.org/10.3905/jod.1999.319106
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  A General Computational Method for Calibration Based on Differential Trees

  Yuh-Dauh Lyuu

  The Journal of Derivatives Fall 1999, 7 (1) 79-90; DOI: https://doi.org/10.3905/jod.1999.319105
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  Endowment Warrant Valuation

  Philip Hoang, John G. Powell and Jing Shi

  The Journal of Derivatives Fall 1999, 7 (1) 91-103; DOI: https://doi.org/10.3905/jod.1999.319108