The Journal of Derivatives: 23 (1)

The Journal of Derivatives

Fall 2015; Volume 23,Issue 1

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Fall 2015, 23 (1) 1-3; DOI: https://doi.org/10.3905/jod.2015.23.1.001
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A GARCH Parameterization of the Volatility Surface
Thomas Mazzoni

The Journal of Derivatives Fall 2015, 23 (1) 9-24; DOI: https://doi.org/10.3905/jod.2015.23.1.009
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Interest Rates and Credit Spread Dynamics
Robert Neal, Douglas Rolph, Brice Dupoyet and Xiaoquan Jiang

The Journal of Derivatives Fall 2015, 23 (1) 25-39; DOI: https://doi.org/10.3905/jod.2015.23.1.025
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Estimating Option-Implied Risk-Neutral Densities: A Novel Parametric Approach
Greg Orosi

The Journal of Derivatives Fall 2015, 23 (1) 41-61; DOI: https://doi.org/10.3905/jod.2015.23.1.041
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Pricing TARNs Using a Finite Difference Method
Xiaolin Luo and Pavel V. Shevchenko

The Journal of Derivatives Fall 2015, 23 (1) 62-72; DOI: https://doi.org/10.3905/jod.2015.23.1.062
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Corporate Vulnerability Index as a Fear Gauge? Exploring the Contagion Effect between U.S. and Korean Markets
Jun Sik Kim, Doojin Ryu and Sung Won Seo

The Journal of Derivatives Fall 2015, 23 (1) 73-88; DOI: https://doi.org/10.3905/jod.2015.23.1.073
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Risk-Neutral Valuation of Real Estate Derivatives
David van Bragt, Marc K. Francke, Stefan N. Singor and Antoon Pelsser

The Journal of Derivatives Fall 2015, 23 (1) 89-110; DOI: https://doi.org/10.3905/jod.2015.23.1.089