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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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  • JOD_30_3_Annis
    On the Term Structure of VIX Futures’ Implied Convexity
    David H. Annis and Damian F. Abasto
  • JOD_30_1_Pimpley
    Editor’s Letter
    Joseph M. Pimbley
  • JOD 29 4 Haghani
    Do Options Belong in the Portfolios of Individual Investors?
    Victor Haghani, Vladimir Ragulin, and James White
  • JOD Video w
    Derivatives in Asset Management
    Frank Fabozzi, Joe Pimbley, Sebastien Page, Shakhar Karnik, and Sameer Kackar
  • Cover’s Rebalancing Option with Discrete Hindsight Optimization
    Alex Garivaltis
  • Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process
    Peter Carr and Andrey Itkin
  • Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
    Zhenyu Cui and Stephen Taylor
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Latest Articles

  • You have access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2023, 30 (3) 1-4; DOI: https://doi.org/10.3905/jod.2023.30.3.001
  • You have access
    On the Term Structure of VIX Futures’ Implied Convexity
    David H. Annis and Damian F. Abasto
    The Journal of Derivatives Spring 2023, 30 (3) 10-25; DOI: https://doi.org/10.3905/jod.2022.1.170
  • You have access
    Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX
    Chen Tong and Zhuo Huang
    The Journal of Derivatives Spring 2023, 30 (3) 117-143; DOI: https://doi.org/10.3905/jod.2022.1.174
  • You have access
    Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
    Young Shin Kim, Hyangju Kim, Jaehyung Choi and Frank J. Fabozzi
    The Journal of Derivatives Spring 2023, 30 (3) 42-64; DOI: https://doi.org/10.3905/jod.2022.1.175
  • You have access
    Pricing Total Return Swaps
    Wujiang Lou
    The Journal of Derivatives Spring 2023, 30 (3) 66-83; DOI: https://doi.org/10.3905/jod.2022.1.167
  • You have access
    Sector Option Correlation Premiums and Predictable Changes in Implied Volatility
    Apoorva Koticha, Chen Li and Joseph M. Marks
    The Journal of Derivatives Spring 2023, 30 (3) 84-115; DOI: https://doi.org/10.3905/jod.2022.1.171
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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: 30 (3)
The Journal of Derivatives
Vol. 30, Issue 3
Spring 2023
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