Below is a list of articles published in the most recent issue of the Journal. To view abstracts and articles from our entire archive use our advanced search feature.
Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures

Spring 2010, Vol. 17, No. 3: pp. 9–14DOI: 10.3905/jod.2010.17.3.009Abstract | Full Text | PDF | Buy Article
Variance Risk Premia in Energy Commodities

Spring 2010, Vol. 17, No. 3: pp. 15–32DOI: 10.3905/jod.2010.17.3.015Abstract | Full Text | PDF | Buy Article
Analytical VaR and Expected Shortfall for Quadratic Portfolios

Spring 2010, Vol. 17, No. 3: pp. 33–44DOI: 10.3905/jod.2010.17.3.033Abstract | Full Text | PDF | Buy Article
Spring 2010, Vol. 17, No. 3: pp. 45–52DOI: 10.3905/jod.2010.17.3.045Abstract | Full Text | PDF | Buy Article
Improved Implementation of Local Volatility and Its Application to S&P 500 Index Options

Spring 2010, Vol. 17, No. 3: pp. 53–64DOI: 10.3905/jod.2010.17.3.053Abstract | Full Text | PDF | Buy Article
A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance

Spring 2010, Vol. 17, No. 3: pp. 65–85DOI: 10.3905/jod.2010.17.3.065Abstract | Full Text | PDF | Buy Article
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- Price Discovery in the Foreign Currency Futures and Spot Market (248)
- A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (166)
- Editor’s Letter (141)
- Editor’s Letter (132)
- Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy (130)
- Editor’s Letter (113)
- Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation (11)
- Efficient Procedures for Valuing European and American Path-Dependent Options (7)
- Valuing Credit Default Swaps I (6)
- Valuing Credit Default Swaps II (4)
- Return and Risk of CBOE Buy Write Monthly Index (4)
- Bumping Up Against the Barrier with the Binomial Method (4)
- Optimal Derivative Strategies with Discrete Rebalancing: The ...Full Article. Subscribe Now. The Journal of Derivatives Winter 2008, Vol. 16, No. 2. Optimal Derivative Strategies with Discrete Rebalancing.…
- Barrier Option Pricing Using Adjusted Transition Probabilities ...The Journal of Derivatives, Vol. 10, No. 4 (2003), pp. 9–31.Abstract; Figlewski, S.,Gao. B. “The Adaptive Mesh Model: A New…
- Implied Correlations: Smiles or Smirks?: The Journal of DerivativesDeveloping a pricing model for CDOs that can actually be implemented is a very challenging problem. In a credit portfolio…
- Hedge Fund News: Hedge Fund Provider Appoints Risk Specialist as ...He currently serves as an associate editor of Mathematical Finance, the International Journal of Theoretical and Applied Finance and the…
- The Impact of Jump Dynamics on the Predictive Power of Option ...Journal of Derivatives, 7 (1999), pp. 66–82.Abstract; Jondeau, E.M. Rockinger. “Reading the Smile: The Message Conveyed by Methods which Infer…


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