The Journal of Derivatives

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Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Spring 2017, 24 (3) 1-3; DOI: https://doi.org/10.3905/jod.2017.24.3.001
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Internal Valuation of Assets with Liquidity Risk
Bert-Jan Nauta

The Journal of Derivatives Spring 2017, 24 (3) 70-83; DOI: https://doi.org/10.3905/jod.2017.24.3.070
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Option Pricing via QUAD: From Black–Scholes–Merton to Heston with Jumps
Haozhe Su, Ding Chen and David P. Newton

The Journal of Derivatives Spring 2017, 24 (3) 9-27; DOI: https://doi.org/10.3905/jod.2017.24.3.009
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Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option Markets
Ernest N. Biktimirov and Chunrong Wang

The Journal of Derivatives Spring 2017, 24 (3) 42-68; DOI: https://doi.org/10.3905/jod.2017.24.3.042
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Does the Tail Wag the Dog? Evidence from Fund Flow to VIX ETFs and ETNs
Jedrzej Bialkowski, Huong Dieu Dang and Xiaopeng Wei

The Journal of Derivatives Winter 2016, 24 (2) 31-47; DOI: https://doi.org/10.3905/jod.2016.24.2.031
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Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades
Dominic O’Kane

The Journal of Derivatives Winter 2016, 24 (2) 48-65; DOI: https://doi.org/10.3905/jod.2016.24.2.048
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Directional Trading across Stock Limit Order Book and Options Markets
Qin Wang

The Journal of Derivatives Winter 2016, 24 (2) 88-97; DOI: https://doi.org/10.3905/jod.2016.24.2.088
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Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Peter Christoffersen, Kris Jacobs and Bingxin Li

The Journal of Derivatives Winter 2016, 24 (2) 8-30; DOI: https://doi.org/10.3905/jod.2016.24.2.008
Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Winter 2016, 24 (2) 1-2; DOI: https://doi.org/10.3905/jod.2016.24.2.001
You have access
Valuations of Mortality-Linked Structured Products
Meng-Lan Yueh, Hsin-Yu Chiu and Shou-Hsun Tsai

The Journal of Derivatives Winter 2016, 24 (2) 66-87; DOI: https://doi.org/10.3905/jod.2016.24.2.066

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