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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 2001; Volume 8,Issue 4

Editorial

  • Open Access
    Editor's Letter
    Stephen Figlewski
    The Journal of Derivatives Summer 2001, 8 (4) 6-7; DOI: https://doi.org/10.3905/jod.2001.390887

Primary Article

  • You have access
    A Markov Chain Model with Stochastic Default Rate for Valuation of Credit Spreads
    Eiji Kodera
    The Journal of Derivatives Summer 2001, 8 (4) 8-18; DOI: https://doi.org/10.3905/jod.2001.319159
  • You have access
    Pricing Equity Swaps in a Stochastic Interest Rate Economy
    Masaaki Kijima and Yukio Muromachi
    The Journal of Derivatives Summer 2001, 8 (4) 19-35; DOI: https://doi.org/10.3905/jod.2001.319160
  • You have access
    Beyond the VaR
    François M. Longin
    The Journal of Derivatives Summer 2001, 8 (4) 36-48; DOI: https://doi.org/10.3905/jod.2001.319161
  • You have access
    Estimation and Hedging with a One-Factor Heath-Jarrow-Morton Model
    Lan-Chih Ho, John Cadle and Michael Theobald
    The Journal of Derivatives Summer 2001, 8 (4) 49-61; DOI: https://doi.org/10.3905/jod.2001.319162
  • You have access
    Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market
    Anu Bharadwaj and James B. Wiggins
    The Journal of Derivatives Summer 2001, 8 (4) 62-71; DOI: https://doi.org/10.3905/jod.2001.319163
  • You have access
    The Derivative Warrant Market in Hong Kong
    Paul Draper, Billy S.C. Mak and Gordon Y.N. Tang
    The Journal of Derivatives Summer 2001, 8 (4) 72-84; DOI: https://doi.org/10.3905/jod.2001.319164
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The Journal of Derivatives
Vol. 8, Issue 4
Summer 2001
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