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
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
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
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
english, 2010
7

Editor’s Letter

Figlewski, Stephen
Journal:
The Journal of Derivatives
Year:
2010
Language:
english
File:
PDF, 50 KB
english, 2010