Volume 15; Issue 3

The Journal of Derivatives

Volume 15; Issue 3
1

Gas Storage Valuation Using a Monte Carlo Method

Boogert, Alexander, de Jong, Cyriel
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 988 KB
english, 2008
2

Pricing and Hedging Volatility Derivatives

Broadie, Mark, Jain, Ashish
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 1.23 MB
english, 2008
3

A Generalized Single Common Factor Model of Portfolio Credit Risk

Kupiec, Paul H
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 849 KB
english, 2008
4

Ratio Spreads

Chaput, J. Scott, Ederington, Louis H
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 1.87 MB
english, 2008
5

Closed-Form Approximations for Spread Option Prices and Greeks

Li, Minqiang, Deng, Shi-Jie, Zhoc, Jieyun
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 501 KB
english, 2008
6

Editor's Letter

Figlewski, Stephen
Journal:
The Journal of Derivatives
Year:
2008
Language:
english
File:
PDF, 85 KB
english, 2008