The Journal of Derivatives

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
Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
Deeveya Thakoor and Muddun Bhuruth
Evolution of Real Estate Derivatives and Their Pricing
Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru
Curve-Fitting Method for Implied Volatility
Desheng Wu and Tianxiang Liu
Forgive, or Award Your Debtor? A Barrier Option Approach
David Sun and Chun-Da Chen

Latest Articles

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Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales
Giovanni Calice, Jing Chen and Julian Williams

The Journal of Derivatives Spring 2020, jod.2019.1.094; DOI: https://doi.org/10.3905/jod.2019.1.094
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Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva and Thomas Haversang

The Journal of Derivatives Spring 2020, jod.2019.1.093; DOI: https://doi.org/10.3905/jod.2019.1.093
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An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
Junmei Ma, Sihuan Huang and Wei Xu

The Journal of Derivatives Spring 2020, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
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Geometric Local Variance Gamma Model
P. Carr and A. Itkin

The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084
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Model Uncertainty and Pricing Performance in Option Valuation
Dennis Bams, Gildas Blanchard and Thorsten Lehnert

The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086
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Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
Xin-Jiang He and Song-Ping Zhu

The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088

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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.