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Volume 17; Issue 3
Main
The Journal of Derivatives
Volume 17; Issue 3
The Journal of Derivatives
Volume 17; Issue 3
1
Improved Implementation of Local Volatility and Its Application to S&P 500 Index Options
Orosi, Greg
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 1.52 MB
Your tags:
english, 2010
2
Variance Risk Premia in Energy Commodities
Trolle, Anders B
,
Schwartz, Eduardo S
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 1.15 MB
Your tags:
english, 2010
3
A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance
Costabile, Massimo
,
Massabó, Ivar
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 4.06 MB
Your tags:
english, 2010
4
Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures
Dowd, Kevin
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 511 KB
Your tags:
english, 2010
5
Analytical VaR and Expected Shortfall for Quadratic Portfolios
Yueh, Meng-Lan
,
Wong, Mark C.W
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 1.81 MB
Your tags:
english, 2010
6
Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process
Ross, Sheldon M
,
Ghamami, Samim
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 418 KB
Your tags:
english, 2010
7
Editor’s Letter
Figlewski, Stephen
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 50 KB
Your tags:
english, 2010
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