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Spring 2019; Volume 26,Issue 3

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2019, 26 (3) 1-3; DOI: https://doi.org/10.3905/jod.2019.26.3.001

Evolution of Real Estate Derivatives and Their Pricing

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Determinants of CoCo Bond Prices

  • The Determinants of CoCo Bond Prices
    Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
    The Journal of Derivatives Spring 2019, 26 (3) 35-52; DOI: https://doi.org/10.3905/jod.2019.26.3.035

Currency Target Zones as Mirrored Options

  • Currency Target Zones as Mirrored Options
    Sandro Claudio Lera, Matthias Leiss and Didier Sornette
    The Journal of Derivatives Spring 2019, 26 (3) 53-67; DOI: https://doi.org/10.3905/jod.2019.26.3.053

A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching

Volatility Surface Calibration to Illiquid Options

A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks

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The Journal of Derivatives: 26 (3)
The Journal of Derivatives
Vol. 26, Issue 3
Spring 2019
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