Table of Contents

Article

• 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
• You have access

  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
• You have access

  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
• You have access

  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
• You have access

  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
• You have access

  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
• You have access

  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