The Journal of Derivatives

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

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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
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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
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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
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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
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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
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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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