The Journal of Derivatives

Table of Contents

Fall 2018; Volume 26,Issue 1

Editor’s Letter

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Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Fall 2018, 26 (1) 1-2; DOI: https://doi.org/10.3905/jod.2018.26.1.001

Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model

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Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model
Charles Chang, Hung-Wen Cheng and Cheng-Der Fuh

The Journal of Derivatives Fall 2018, 26 (1) 7-25; DOI: https://doi.org/10.3905/jod.2018.1.067

A Flexible Lattice Model for Pricing Contingent Claims under Multiple Risk Factors

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A Flexible Lattice Model for Pricing Contingent Claims under Multiple Risk Factors
Emilio Russo and Alessandro Staino

The Journal of Derivatives Fall 2018, 26 (1) 27-44; DOI: https://doi.org/10.3905/jod.2018.26.1.027

Implied Volatility Estimation via ℓ₁ Trend Filtering

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Implied Volatility Estimation via ℓ₁ Trend Filtering
Pablo Crespo and Ta-Cheng Huang

The Journal of Derivatives Fall 2018, 26 (1) 45-66; DOI: https://doi.org/10.3905/jod.2018.26.1.045

Forgive, or Award Your Debtor? A Barrier Option Approach

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Forgive, or Award Your Debtor? A Barrier Option Approach
David Sun and Chun-Da Chen

The Journal of Derivatives Fall 2018, 26 (1) 67-95; DOI: https://doi.org/10.3905/jod.2018.1.068

No Economic Catastrophe Bonds

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No Economic Catastrophe Bonds
Andreas Blöchlinger

The Journal of Derivatives Fall 2018, 26 (1) 97-108; DOI: https://doi.org/10.3905/jod.2018.26.1.097

Remembering Peter Christoffersen (1967–2018)

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Remembering Peter Christoffersen (1967–2018)
Bo Young Chang, Kris Jacobs, Chayawat Ornthanalai and Stephen Figlewski

The Journal of Derivatives Fall 2018, 26 (1) 109-111; DOI: https://doi.org/10.3905/jod.2018.26.1.109