Index by author

Summer 2018; Volume 25,Issue 4

F

  1. Fabozzi, Frank J.

    1. Another Look at the Ho–Lee Bond Option Pricing Model
      Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048

  2. Feng, Shu

    1. An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs
      Shu Feng, Xiaoling Pu and Yi Zhang
      The Journal of Derivatives Summer 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036

  3. Figlewski, Stephen

    1. Open Access
      Editor’s Letter
      Stephen Figlewski
      The Journal of Derivatives Summer 2018, 25 (4) 1-3; DOI: https://doi.org/10.3905/jod.2018.25.4.001

K

  1. Kim, Young Shin

    1. Another Look at the Ho–Lee Bond Option Pricing Model
      Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048

L

  1. Liu, Tianxiang

    1. New Approach to Estimating VIX Truncation Errors Using Corridor Variance Swaps
      Desheng Wu and Tianxiang Liu
      The Journal of Derivatives Summer 2018, 25 (4) 54-70; DOI: https://doi.org/10.3905/jod.2018.1.066

M

  1. Martin, Ian

    1. Options and the Gamma Knife
      Ian Martin
      The Journal of Derivatives Summer 2018, 25 (4) 71-79; DOI: https://doi.org/10.3905/jod.2018.25.4.071

P

  1. Payne, Brian C.

    1. Implied Volatility across Geographical Markets and Asset Classes
      Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo
      The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065

  2. Pu, Xiaoling

    1. An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs
      Shu Feng, Xiaoling Pu and Yi Zhang
      The Journal of Derivatives Summer 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036

R

  1. Rachev, Svetlozar T.

    1. Another Look at the Ho–Lee Bond Option Pricing Model
      Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048

S

  1. Stoyanov, Stoyan V.

    1. Another Look at the Ho–Lee Bond Option Pricing Model
      Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048

T

  1. Toledo, Wilfredo

    1. Implied Volatility across Geographical Markets and Asset Classes
      Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo
      The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065

  2. Tresl, Jiri

    1. Implied Volatility across Geographical Markets and Asset Classes
      Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo
      The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065

U

  1. Uhl, Matthias W.

    1. Volatility Aversion in the Options Market Based on News Sentiment
      Matthias W. Uhl
      The Journal of Derivatives Summer 2018, 25 (4) 24-35; DOI: https://doi.org/10.3905/jod.2018.25.4.024

V

  1. Velev, Julian P.

    1. Implied Volatility across Geographical Markets and Asset Classes
      Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo
      The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065

W

  1. Wu, Desheng

    1. New Approach to Estimating VIX Truncation Errors Using Corridor Variance Swaps
      Desheng Wu and Tianxiang Liu
      The Journal of Derivatives Summer 2018, 25 (4) 54-70; DOI: https://doi.org/10.3905/jod.2018.1.066

Z

  1. Zhang, Yi

    1. An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs
      Shu Feng, Xiaoling Pu and Yi Zhang
      The Journal of Derivatives Summer 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036
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