VAR and use of alternative risk measures of trading risk
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives May 2011, 18 (4) 1-2; DOI: https://doi.org/10.3905/jod.2011.18.4.001
- Accelerating the Calibration of Stochastic Volatility ModelsFiodar KilinThe Journal of Derivatives February 2011, 18 (3) 7-16; DOI: https://doi.org/10.3905/jod.2011.18.3.007
- The Generalized Extreme Value Distribution, Implied Tail Index, and Option PricingSheri Markose and Amadeo AlentornThe Journal of Derivatives February 2011, 18 (3) 35-60; DOI: https://doi.org/10.3905/jod.2011.18.3.035
- Extracting Risk-Neutral Density and Its Moments from American Option PricesYisong S. TianThe Journal of Derivatives February 2011, 18 (3) 17-34; DOI: https://doi.org/10.3905/jod.2011.18.3.017
- A Fully Coupled Solution Algorithm for Pricing Options with Complex Barrier StructuresZili Zhu and Frank de HoogThe Journal of Derivatives August 2010, 18 (1) 9-17; DOI: https://doi.org/10.3905/jod.2010.18.1.009
- Liquidity OptionsMaxim Golts and Mark KritzmanThe Journal of Derivatives August 2010, 18 (1) 80-89; DOI: https://doi.org/10.3905/jod.2010.18.1.080
- Step Double Barrier OptionsTristan GuillaumeThe Journal of Derivatives August 2010, 18 (1) 59-79; DOI: https://doi.org/10.3905/jod.2010.18.1.059
- An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying VolatilityDinghai Xu and Tony S. WirjantoThe Journal of Derivatives August 2010, 18 (1) 39-58; DOI: https://doi.org/10.3905/jod.2010.18.1.039
- Fast Analytic Option Valuation with GARCHThomas MazzoniThe Journal of Derivatives August 2010, 18 (1) 18-38; DOI: https://doi.org/10.3905/jod.2010.18.1.018
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives August 2010, 18 (1) 1-2; DOI: https://doi.org/10.3905/jod.2010.18.1.001
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