Index by author

Spring 2019; Volume 26,Issue 3

C

  1. Chatterjee, Rupak

    1. Pricing Bermudan Variance Swaptions Using Multinomial Trees
      Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
      The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022

D

  1. Diao, Xundi

    1. A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
      Feifan Wu, Xundi Diao and Chongfeng Wu
      The Journal of Derivatives Spring 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072

F

  1. Fabozzi, Frank J.

    1. Evolution of Real Estate Derivatives and Their Pricing
      Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru
      The Journal of Derivatives Spring 2019, 26 (3) 7-21; DOI: https://doi.org/10.3905/jod.2019.26.3.007

  2. Florescu, Ionuţ

    1. Pricing Bermudan Variance Swaptions Using Multinomial Trees
      Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
      The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022

G

  1. Godin, Frédéric

    1. A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks
      Frédéric Godin
      The Journal of Derivatives Spring 2019, 26 (3) 97-107; DOI: https://doi.org/10.3905/jod.2019.1.071

K

  1. Khah, Sara Abed Masror

    1. 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

L

  1. Leiss, Matthias

    1. 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

  2. Lera, Sandro Claudio

    1. 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

  3. Lonon, Thomas

    1. Pricing Bermudan Variance Swaptions Using Multinomial Trees
      Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
      The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022

N

  1. Nagy, László

    1. Volatility Surface Calibration to Illiquid Options
      László Nagy and Mihály Ormos
      The Journal of Derivatives Spring 2019, 26 (3) 87-96; DOI: https://doi.org/10.3905/jod.2019.26.3.087

O

  1. Ormos, Mihály

    1. Volatility Surface Calibration to Illiquid Options
      László Nagy and Mihály Ormos
      The Journal of Derivatives Spring 2019, 26 (3) 87-96; DOI: https://doi.org/10.3905/jod.2019.26.3.087

P

  1. Pimbley, Joseph M.

    1. 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

S

  1. Shiller, Robert J.

    1. Evolution of Real Estate Derivatives and Their Pricing
      Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru
      The Journal of Derivatives Spring 2019, 26 (3) 7-21; DOI: https://doi.org/10.3905/jod.2019.26.3.007

  2. Sornette, Didier

    1. 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

T

  1. Tunaru, Radu S.

    1. Evolution of Real Estate Derivatives and Their Pricing
      Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru
      The Journal of Derivatives Spring 2019, 26 (3) 7-21; DOI: https://doi.org/10.3905/jod.2019.26.3.007

V

  1. Vermaelen, Theo

    1. 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

W

  1. Wolff, Christian C. P.

    1. 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

  2. Wu, Chongfeng

    1. A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
      Feifan Wu, Xundi Diao and Chongfeng Wu
      The Journal of Derivatives Spring 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072

  3. Wu, Feifan

    1. A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
      Feifan Wu, Xundi Diao and Chongfeng Wu
      The Journal of Derivatives Spring 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072

Z

  1. Zhao, Honglei

    1. Pricing Bermudan Variance Swaptions Using Multinomial Trees
      Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
      The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022
Back to top

Explore our content to discover more relevant research

In this issue

The Journal of Derivatives: 26 (3)
The Journal of Derivatives
Vol. 26, Issue 3
Spring 2019
Sign up for alerts