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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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  • 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
  • Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
    Deeveya Thakoor and Muddun Bhuruth
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Latest Articles

  • You have access
    A Closed-Form Model-Free Implied Volatility Formula through Delta Families
    Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Taylor
    The Journal of Derivatives Summer 2021, jod.2020.1.127; DOI: https://doi.org/10.3905/jod.2020.1.127
  • You have access
    A Derivatives Pricing Model with Non-Cash Collateralization
    Kazuhiro Takino
    The Journal of Derivatives Fall 2021, jod.2020.1.126; DOI: https://doi.org/10.3905/jod.2020.1.126
  • You have access
    Pricing of Basket Options by Conditioning and Moment Matching
    Ping Wu and Hui Lin
    The Journal of Derivatives Winter 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103
  • You have access
    Information Content of Options Trading Prior to Dividend Initiations
    Qin Emma Wang
    The Journal of Derivatives Winter 2020, 28 (2) 104-123; DOI: https://doi.org/10.3905/jod.2020.1.106
  • You have access
    The Free Boundary for the American Put Option
    Thomas Little
    The Journal of Derivatives Winter 2020, 28 (2) 9-21; DOI: https://doi.org/10.3905/jod.2020.1.114
  • You have access
    Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
    Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
    The Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
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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: 28 (2)
The Journal of Derivatives
Vol. 28, Issue 2
Winter 2020
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