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The Journal of Derivatives

The Journal of Derivatives

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Big data is playing an ever-greater role in the financial industry.

Shining a fresh light on the challenges facing asset managers in this field, our new journal provides practical solutions to your data problems

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    A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
    Feifan Wu, Xundi Diao and Chongfeng Wu
    The Journal of Derivatives Spring 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072
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    Evolution of Real Estate Derivatives and Their Pricing
    Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru
    The Journal of Derivatives Spring 2019, 26 (3) 7-21; DOI: https://doi.org/10.3905/jod.2019.26.3.007
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    The Determinants of CoCo Bond Prices
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    The Journal of Derivatives Spring 2019, 26 (3) 35-52; DOI: https://doi.org/10.3905/jod.2019.26.3.035
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    A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks
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    The Journal of Derivatives Spring 2019, 26 (3) 97-107; DOI: https://doi.org/10.3905/jod.2019.1.071
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    Pricing Bermudan Variance Swaptions Using Multinomial Trees
    Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
    The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022
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    Volatility Surface Calibration to Illiquid Options
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About The Journal of Derivatives

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD provides full treatment of mathematical and statistical information on derivative products and techniques, with a focus on results-oriented analysis.

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The Journal of Derivatives: 26 (3)
The Journal of Derivatives
Vol. 26, Issue 3
Spring 2019
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