Table of Contents

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Summer 2009, 16 (4) 1-2; DOI: https://doi.org/10.3905/JOD.2009.16.4.001
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  A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

  X. Burtschell, Jonathan Gregory and Jean-Paul Laurent

  The Journal of Derivatives Summer 2009, 16 (4) 9-37; DOI: https://doi.org/10.3905/JOD.2009.16.4.009
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  Cross-Sectional Analysis of Risk-Neutral Skewness

  Stephen J Taylor, Pradeep K Yadav and Yuanyuan Zhang

  The Journal of Derivatives Summer 2009, 16 (4) 38-52; DOI: https://doi.org/10.3905/JOD.2009.16.4.038
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  A Multi-Factor Cross-Currency LIBOR Market Model

  Wolfgang Benner, Lyudmil Zyapkov and Stephan Jortzik

  The Journal of Derivatives Summer 2009, 16 (4) 53-71; DOI: https://doi.org/10.3905/JOD.2009.16.4.053
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  Pricing Parisian Options by Generating Functions

  Bing-Qing Li and Hai-Jian Zhao

  The Journal of Derivatives Summer 2009, 16 (4) 72-81; DOI: https://doi.org/10.3905/JOD.2009.16.4.072
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  On Perpetual American Strangles

  Franck Moraux

  The Journal of Derivatives Summer 2009, 16 (4) 82-97; DOI: https://doi.org/10.3905/JOD.2009.16.4.082