The Journal of Derivatives

Latest Articles

You have access
Remembering Peter Christoffersen (1967–2018)
Bo Young Chang, Kris Jacobs, Chayawat Ornthanalai and Stephen Figlewski

The Journal of Derivatives Fall 2018, 26 (1) 109-111; DOI: https://doi.org/10.3905/jod.2018.26.1.109
Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Fall 2018, 26 (1) 1-2; DOI: https://doi.org/10.3905/jod.2018.26.1.001
You have access
No Economic Catastrophe Bonds
Andreas Blöchlinger

The Journal of Derivatives Fall 2018, 26 (1) 97-108; DOI: https://doi.org/10.3905/jod.2018.26.1.097
You have access
Implied Volatility Estimation via ℓ₁ Trend Filtering
Pablo Crespo and Ta-Cheng Huang

The Journal of Derivatives Fall 2018, 26 (1) 45-66; DOI: https://doi.org/10.3905/jod.2018.26.1.045
You have access
Another Look at the Ho–Lee Bond Option Pricing Model
Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi

The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048
You have access
An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs
Shu Feng, Xiaoling Pu and Yi Zhang

The Journal of Derivatives Summer 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036
You have access
Options and the Gamma Knife
Ian Martin

The Journal of Derivatives Summer 2018, 25 (4) 71-79; DOI: https://doi.org/10.3905/jod.2018.25.4.071
You have access
Implied Volatility across Geographical Markets and Asset Classes
Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo

The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065
Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Summer 2018, 25 (4) 1-3; DOI: https://doi.org/10.3905/jod.2018.25.4.001
You have access
New Approach to Estimating VIX Truncation Errors Using Corridor Variance Swaps
Desheng Wu and Tianxiang Liu

The Journal of Derivatives Summer 2018, 25 (4) 54-70; DOI: https://doi.org/10.3905/jod.2018.1.066

Main menu

User menu

Search

The Journal of Derivatives

Latest Articles

Pages

MORE FROM IPR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Latest Articles

Pages

Stay Connected