The Journal of Derivatives

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
Featured Article: Implied Volatility across Geographical Markets and Asset Classes
Authors: Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo

Latest Articles

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Risk Neutral Density Estimation: Looking at the Tails
Martin Reinke

The Journal of Derivatives Spring 2020, jod.2019.1.090; DOI: https://doi.org/10.3905/jod.2019.1.090
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Efficient Out-of-Sample Pricing of VIX Futures
Shuxin Guo and Qiang Liu

The Journal of Derivatives Spring 2020, jod.2019.1.089; DOI: https://doi.org/10.3905/jod.2019.1.089
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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, jod.2019.1.088; DOI: https://doi.org/10.3905/jod.2019.1.088
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The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
Robert Brooks, Don Chance and Michael Hemler

The Journal of Derivatives Winter 2019, jod.2019.1.087; DOI: https://doi.org/10.3905/jod.2019.1.087
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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, jod.2019.1.086; DOI: https://doi.org/10.3905/jod.2019.1.086
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Fourier Method for Valuation of Options under Parameter and State Uncertainty
Erik Lindström

The Journal of Derivatives Winter 2019, jod.2019.1.085; DOI: https://doi.org/10.3905/jod.2019.1.085

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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.