Table of Contents

Fall 2019; Volume 27,Issue 1

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Fall 2019, 27 (1) 1-3; DOI: https://doi.org/10.3905/jod.2019.27.1.001

Remembering Mark Rubinstein

  • Remembering Mark Rubinstein
    Menachem Brenner, Emanuel Derman, Robert Jarrow and Eric Reiner
    The Journal of Derivatives Fall 2019, 27 (1) 8-13; DOI: https://doi.org/10.3905/jod.2019.1.082

Towards a General Local Volatility Model for All Asset Classes

Black–Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities

Quadrinomial Trees to Value Options in Stochastic Volatility Models

An Improved Estimation Method for a Family of GARCH Models

American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search

VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels

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In this issue

The Journal of Derivatives: 27 (1)
The Journal of Derivatives
Vol. 27, Issue 1
Fall 2019
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