The Journal of Derivatives

Table of Contents

Fall 2007; Volume 15,Issue 1

Editorial

Open Access
Editor's Letter
Stephen Figlewski

The Journal of Derivatives Fall 2007, 15 (1) 7-8; DOI: https://doi.org/10.3905/jod.2007.694821

Primary Article

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On Pricing and Hedging in the Swaption Market
Rong Fan, Anurag Gupta and Peter Ritchken

The Journal of Derivatives Fall 2007, 15 (1) 9-33; DOI: https://doi.org/10.3905/jod.2007.694699
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Do Lead-Lag Effects Affect Derivative Pricing?
Olaf Korn and Marliese Uhrig-Homburg

The Journal of Derivatives Fall 2007, 15 (1) 34-51; DOI: https://doi.org/10.3905/jod.2007.694701
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Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
Fred Espen Benth, Steen Koekkebakker and Fridthjof Ollmar

The Journal of Derivatives Fall 2007, 15 (1) 52-66; DOI: https://doi.org/10.3905/jod.2007.694791
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A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
Hui Jin, Jun-Ya Gotoh and Ushio Sumita

The Journal of Derivatives Fall 2007, 15 (1) 67-85; DOI: https://doi.org/10.3905/jod.2007.694793
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Properties of the Chooser Flexible Cap
Masamtsu Ohnishi and Yasuhiro Tamba

The Journal of Derivatives Fall 2007, 15 (1) 86-102; DOI: https://doi.org/10.3905/jod.2007.694795

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