The Journal of Derivatives

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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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