Review of Derivatives Research

Modelling default contagion using multivariate phase-type distributions
pp. 1-36(36)
Author: Herbertsson, Alexander

A binomial approximation for two-state Markovian HJM models
pp. 37-65(29)
Authors: Costabile, Massimo; Massabó, Ivar; Russo, Emilio

Foreign currency bubbles
pp. 67-83(17)
Authors: Jarrow, Robert; Protter, Philip

Tractable hedging with additional hedge instruments
pp. 85-114(30)
Authors: Branger, Nicole; Mahayni, Antje