Table of Contents

Fall 2019; Volume 27,Issue 1

B

  1. Brenner, Menachem

    1. 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

  2. Bueno-Guerrero, Alberto

    1. 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

  3. Byrne, Brian

    1. 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

C

  1. Chen, Ji

    1. 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

D

  1. Derman, Emanuel

    1. 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

G

  1. Gatarek, Dariusz

    1. 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

J

  1. Jabłecki, Juliusz

    1. 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

  2. Jarrow, Robert

    1. 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

L

  1. Létourneau, Pascal

    1. 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

M

  1. Marín-Sánchez, Freddy H.

    1. 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

P

  1. Pareja-Vasseur, Julián A.

    1. 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

  2. Pimbley, Joseph M.

    1. 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

R

  1. Reiner, Eric

    1. 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

S

  1. Shang, Qianru

    1. 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

W

  1. Wang, Peng

    1. 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

Y

  1. Yang, Xinglin

    1. 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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