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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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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

  • You have access
    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

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    Towards a General Local Volatility Model for All Asset Classes
    Dariusz Gatarek and Juliusz Jabłecki
    The Journal of Derivatives Fall 2019, 27 (1) 14-31; DOI: https://doi.org/10.3905/jod.2019.1.079

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

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    Black–Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities
    Alberto Bueno-Guerrero
    The Journal of Derivatives Fall 2019, 27 (1) 32-48; DOI: https://doi.org/10.3905/jod.2019.1.078

Quadrinomial Trees to Value Options in Stochastic Volatility Models

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    Quadrinomial Trees to Value Options in Stochastic Volatility Models
    Julián A. Pareja-Vasseur and Freddy H. Marín-Sánchez
    The Journal of Derivatives Fall 2019, 27 (1) 49-66; DOI: https://doi.org/10.3905/jod.2019.1.076

An Improved Estimation Method for a Family of GARCH Models

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    An Improved Estimation Method for a Family of GARCH Models
    Pascal Létourneau
    The Journal of Derivatives Fall 2019, 27 (1) 67-91; DOI: https://doi.org/10.3905/jod.2019.1.081

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

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    American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
    Qianru Shang and Brian Byrne
    The Journal of Derivatives Fall 2019, 27 (1) 92-108; DOI: https://doi.org/10.3905/jod.2019.1.080

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

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    VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels
    Xinglin Yang, Peng Wang and Ji Chen
    The Journal of Derivatives Fall 2019, 27 (1) 110-127; DOI: https://doi.org/10.3905/jod.2019.1.075
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The Journal of Derivatives: 27 (1)
The Journal of Derivatives
Vol. 27, Issue 1
Fall 2019
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