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The Journal of Derivatives

The Journal of Derivatives

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Table of Contents

Winter 2017; Volume 25,Issue 2

Editor’s Letter

  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Winter 2017, 25 (2) 1-2; DOI: https://doi.org/10.3905/jod.2017.25.2.001

Pricing Variance, Gamma, and Corridor Swaps Using Multinomial Trees

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    Pricing Variance, Gamma, and Corridor Swaps Using Multinomial Trees
    Honglei Zhao, Zhe Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
    The Journal of Derivatives Winter 2017, 25 (2) 7-21; DOI: https://doi.org/10.3905/jod.2017.25.2.007

Sector Option Implied Volatility Dynamics and Predictability

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    Sector Option Implied Volatility Dynamics and Predictability
    Joseph M. Marks and David P. Simon
    The Journal of Derivatives Winter 2017, 25 (2) 22-42; DOI: https://doi.org/10.3905/jod.2017.25.2.022

Volatility Leadership Among Index Options

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    Volatility Leadership Among Index Options
    Stephen Figlewski and Anja Frommherz
    The Journal of Derivatives Winter 2017, 25 (2) 43-60; DOI: https://doi.org/10.3905/jod.2017.25.2.043

Rent-to-Own Housing Contracts under Financial Constraints

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    Rent-to-Own Housing Contracts under Financial Constraints
    Sanjiv Jaggia and Pratish Patel
    The Journal of Derivatives Winter 2017, 25 (2) 62-78; DOI: https://doi.org/10.3905/jod.2017.25.2.062
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The Journal of Derivatives: 25 (2)
The Journal of Derivatives
Vol. 25, Issue 2
Winter 2017
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