Table of Contents

Fall 2016; Volume 24,Issue 1

A

  1. Arisoy, Y. Eser

    1. Option-Implied Volatility Measures and Stock Return Predictability
      Xi Fu, Y. Eser Arisoy, Mark B. Shackleton and Mehmet Umutlu
      The Journal of Derivatives Fall 2016, 24 (1) 58-78; DOI: https://doi.org/10.3905/jod.2016.24.1.058

C

  1. Chateauneuf, Alain

    1. Comonotonic Monte Carlo Simulation and Its Applications in Option Pricing and Quantification of Risk
      Alain Chateauneuf, Mina Mostoufi and David Vyncke
      The Journal of Derivatives Fall 2016, 24 (1) 18-28; DOI: https://doi.org/10.3905/jod.2016.24.1.018

F

  1. Fabozzi, Frank J.

    1. On the Estimation of the SABR Model’s Beta Parameter: The Role of Hedging in Determining the Beta Parameter
      Mengfei Zhang and Frank J. Fabozzi
      The Journal of Derivatives Fall 2016, 24 (1) 48-57; DOI: https://doi.org/10.3905/jod.2016.24.1.048

  2. Figlewski, Stephen

    1. Open Access
      Editor’s Letter
      Stephen Figlewski
      The Journal of Derivatives Fall 2016, 24 (1) 1-2; DOI: https://doi.org/10.3905/jod.2016.24.1.001

  3. Fu, Xi

    1. Option-Implied Volatility Measures and Stock Return Predictability
      Xi Fu, Y. Eser Arisoy, Mark B. Shackleton and Mehmet Umutlu
      The Journal of Derivatives Fall 2016, 24 (1) 58-78; DOI: https://doi.org/10.3905/jod.2016.24.1.058

L

  1. Lehnert, Thorsten

    1. Mutual Funds, Price Pressure, and Index Options
      Thorsten Lehnert
      The Journal of Derivatives Fall 2016, 24 (1) 30-46; DOI: https://doi.org/10.3905/jod.2016.24.1.030

M

  1. Mostoufi, Mina

    1. Comonotonic Monte Carlo Simulation and Its Applications in Option Pricing and Quantification of Risk
      Alain Chateauneuf, Mina Mostoufi and David Vyncke
      The Journal of Derivatives Fall 2016, 24 (1) 18-28; DOI: https://doi.org/10.3905/jod.2016.24.1.018

S

  1. Shackleton, Mark B.

    1. Option-Implied Volatility Measures and Stock Return Predictability
      Xi Fu, Y. Eser Arisoy, Mark B. Shackleton and Mehmet Umutlu
      The Journal of Derivatives Fall 2016, 24 (1) 58-78; DOI: https://doi.org/10.3905/jod.2016.24.1.058

U

  1. Umutlu, Mehmet

    1. Option-Implied Volatility Measures and Stock Return Predictability
      Xi Fu, Y. Eser Arisoy, Mark B. Shackleton and Mehmet Umutlu
      The Journal of Derivatives Fall 2016, 24 (1) 58-78; DOI: https://doi.org/10.3905/jod.2016.24.1.058

V

  1. Vyncke, David

    1. Comonotonic Monte Carlo Simulation and Its Applications in Option Pricing and Quantification of Risk
      Alain Chateauneuf, Mina Mostoufi and David Vyncke
      The Journal of Derivatives Fall 2016, 24 (1) 18-28; DOI: https://doi.org/10.3905/jod.2016.24.1.018

Y

  1. Ye, Letian

    1. An Analytical Method for Multi-Asset Option Pricing Based on a Single-Factor Model
      Letian Ye
      The Journal of Derivatives Fall 2016, 24 (1) 7-16; DOI: https://doi.org/10.3905/jod.2016.24.1.007

Z

  1. Zhang, Mengfei

    1. On the Estimation of the SABR Model’s Beta Parameter: The Role of Hedging in Determining the Beta Parameter
      Mengfei Zhang and Frank J. Fabozzi
      The Journal of Derivatives Fall 2016, 24 (1) 48-57; DOI: https://doi.org/10.3905/jod.2016.24.1.048
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The Journal of Derivatives: 24 (1)
The Journal of Derivatives
Vol. 24, Issue 1
Fall 2016
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