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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

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  • Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
    Zhenyu Cui and Stephen Taylor
  • The Free Boundary for the American Put Option
    Thomas Little
  • Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta
    Fumio Hayashi
  • Parameterized Calendar Correlations: Decoding Oil and Beyond
    Roza Galeeva and Thomas Haversang
  • Geometric Local Variance Gamma Model
    P. Carr and A. Itkin
  • Towards a General Local Volatility Model for All Asset Classes
    Dariusz Gatarek and Juliusz Jabłecki
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Latest Articles

  • You have access
    How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
    Samuel Drapeau, Tan Wang and Tao Wang
    The Journal of Derivatives Spring 2021, 28 (3) 140-161; DOI: https://doi.org/10.3905/jod.2020.1.120
  • You have access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2021, 28 (3) 1-3; DOI: https://doi.org/10.3905/jod.2021.28.3.001
  • You have access
    Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
    Zhenyu Cui and Stephen Taylor
    The Journal of Derivatives Spring 2021, 28 (3) 8-33; DOI: https://doi.org/10.3905/jod.2020.1.116
  • You have access
    Universal Arbitrage-Free Estimation of State Price Density
    Qi Hu and David Newton
    The Journal of Derivatives Spring 2021, 28 (3) 35-59; DOI: https://doi.org/10.3905/jod.2020.1.123
  • You have access
    Can the Improved CMBO Strategies Beat the CMBO Index?
    Wei-Han Liu and Jow-Ran Chang
    The Journal of Derivatives Spring 2021, 28 (3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121
  • You have access
    Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
    Sonnan Chen and Yuchi Gu
    The Journal of Derivatives Spring 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124
View more latest articles

DISCOVER RESEARCH FROM OUR AUTHORS

In our series of videos, the authors of research published in The Journal of Derivatives, discuss the findings of their article, offering more in-depth analysis around it and explain how the conclusions can be implemented in practice.

 
Emanuel Derman
Columbia University
Stephen Figlewski
The Journal of Derivatives
 

 

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: 28 (3)
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
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