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The Journal of Derivatives

The Journal of Derivatives

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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

  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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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The Journal of Derivatives
Vol. 15, Issue 1
Fall 2007
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