The Journal of Derivatives: 22 (1)

The Journal of Derivatives

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Fall 2014; Volume 22,Issue 1

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Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Fall 2014, 22 (1) 1-2; DOI: https://doi.org/10.3905/jod.2014.22.1.001
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Implied Volatility Dynamics Among Exchange-Traded Funds and Their Largest Component Stocks
Timothy A. Krause and Donald Lien

The Journal of Derivatives Fall 2014, 22 (1) 7-26; DOI: https://doi.org/10.3905/jod.2014.22.1.007
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Dynamics of Sovereign Credit Contagion
Alex YiHou Huang, Chih-Chun Chen and Chung-Hua Shen

The Journal of Derivatives Fall 2014, 22 (1) 27-45; DOI: https://doi.org/10.3905/jod.2014.22.1.027
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Pricing American Options by Willow Tree Method Under Jump-Diffusion Process
Wei Xu and Yufang Yin

The Journal of Derivatives Fall 2014, 22 (1) 46-56; DOI: https://doi.org/10.3905/jod.2014.22.1.046
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Volatility-Decay Risk Premia
Dan Galai, Haim Kedar-Levy and Ben Z. Schreiber

The Journal of Derivatives Fall 2014, 22 (1) 57-70; DOI: https://doi.org/10.3905/jod.2014.22.1.057
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The Buy-Write Strategy, Index Investment, and the Efficient Market Hypothesis: More Australian Evidence
Darren O’Connell and Barry O’Grady

The Journal of Derivatives Fall 2014, 22 (1) 71-89; DOI: https://doi.org/10.3905/jod.2014.22.1.071
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The Effects of Stochastic Volatility and Demand Pressure on the Monotonicity Property Violations
Ging-Ginq Pan, Yung-Ming Shiu and Tu-Cheng Wu

The Journal of Derivatives Fall 2014, 22 (1) 90-102; DOI: https://doi.org/10.3905/jod.2014.22.1.090

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