The Journal of Derivatives

Table of Contents

Spring 2018; Volume 25,Issue 3

Editor’s Letter

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Spring 2018, 25 (3) 1-2; DOI: https://doi.org/10.3905/jod.2018.25.3.001

An Alternative Option to Portfolio Rebalancing

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An Alternative Option to Portfolio Rebalancing
Roni Israelov and Harsha Tummala

The Journal of Derivatives Spring 2018, 25 (3) 7-32; DOI: https://doi.org/10.3905/jod.2018.25.3.007

A Unified Willow Tree Framework for One-Factor Short-Rate Models

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A Unified Willow Tree Framework for One-Factor Short-Rate Models
Guangguang Wang and Wei Xu

The Journal of Derivatives Spring 2018, 25 (3) 33-54; DOI: https://doi.org/10.3905/jod.2018.1.064

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

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A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance
Riccardo Rebonato and Chu Ming Ng

The Journal of Derivatives Spring 2018, 25 (3) 55-80; DOI: https://doi.org/10.3905/jod.2018.1.063

The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence

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The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence
Heinz Zimmermann

The Journal of Derivatives Spring 2018, 25 (3) 81-87; DOI: https://doi.org/10.3905/jod.2018.25.3.081

It Is Time to Shift Log-Normal

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It Is Time to Shift Log-Normal
Ren-Raw Chen, Pei-Lin Hsieh and Jeffrey Huang

The Journal of Derivatives Spring 2018, 25 (3) 89-103; DOI: https://doi.org/10.3905/jod.2018.25.3.089

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