The Journal of Derivatives

Table of Contents

Winter 2018; Volume 26,Issue 2

Editor’s Letter

Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Winter 2018, 26 (2) 1-2; DOI: https://doi.org/10.3905/jod.2018.26.2.001

Sharp Analytical Lower Bounds for the Price of a Convertible Bond

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Sharp Analytical Lower Bounds for the Price of a Convertible Bond
Amelie Hüttner and Jan-Frederik Mai

The Journal of Derivatives Winter 2018, 26 (2) 7-18; DOI: https://doi.org/10.3905/jod.2018.26.2.007

Curve-Fitting Method for Implied Volatility

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Curve-Fitting Method for Implied Volatility
Desheng Wu and Tianxiang Liu

The Journal of Derivatives Winter 2018, 26 (2) 19-37; DOI: https://doi.org/10.3905/jod.2018.26.2.019

Option Writing: Using VIX to Improve Returns

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Option Writing: Using VIX to Improve Returns
Burton G. Malkiel, Alex Rinaudo and Atanu Saha

The Journal of Derivatives Winter 2018, 26 (2) 38-49; DOI: https://doi.org/10.3905/jod.2018.26.2.038

Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps

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Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps
Ming-Che Chuang, Shih-Kuei Lin and Mi-Hsiu Chiang

The Journal of Derivatives Winter 2018, 26 (2) 50-69; DOI: https://doi.org/10.3905/jod.2018.1.069

Asymmetric Dynamics between Informed Trading Activity and Credit Default Swaps

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Asymmetric Dynamics between Informed Trading Activity and Credit Default Swaps
Wen-Cheng Hu and Alex YiHou Huang

The Journal of Derivatives Winter 2018, 26 (2) 70-85; DOI: https://doi.org/10.3905/jod.2018.1.070

Computing Risk Measures of Life Insurance Policies through the Cox–Ross–Rubinstein Model

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Computing Risk Measures of Life Insurance Policies through the Cox–Ross–Rubinstein Model
Massimo Costabile

The Journal of Derivatives Winter 2018, 26 (2) 86-94; DOI: https://doi.org/10.3905/jod.2018.26.2.086

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