Index by author

Winter 2019; Volume 27,Issue 2

B

  1. Bams, Dennis

    1. Model Uncertainty and Pricing Performance in Option Valuation
      Dennis Bams, Gildas Blanchard and Thorsten Lehnert
      The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086

  2. Blanchard, Gildas

    1. Model Uncertainty and Pricing Performance in Option Valuation
      Dennis Bams, Gildas Blanchard and Thorsten Lehnert
      The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086

  3. Brooks, Robert

    1. The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
      Robert Brooks, Don Chance and Michael Hemler
      The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087

C

  1. Carr, P.

    1. Geometric Local Variance Gamma Model
      P. Carr and A. Itkin
      The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084

  2. Chance, Don

    1. The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
      Robert Brooks, Don Chance and Michael Hemler
      The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087

H

  1. He, Xin-Jiang

    1. Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
      Xin-Jiang He and Song-Ping Zhu
      The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088

  2. Hemler, Michael

    1. The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
      Robert Brooks, Don Chance and Michael Hemler
      The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087

I

  1. Itkin, A.

    1. Geometric Local Variance Gamma Model
      P. Carr and A. Itkin
      The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084

L

  1. Lehnert, Thorsten

    1. Model Uncertainty and Pricing Performance in Option Valuation
      Dennis Bams, Gildas Blanchard and Thorsten Lehnert
      The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086

  2. Lindström, Erik

    1. Fourier Method for Valuation of Options under Parameter and State Uncertainty
      Erik Lindström
      The Journal of Derivatives Winter 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085

N

  1. Neo, Poh Ling

    1. Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
      Poh Ling Neo and Chyng Wen Tee
      The Journal of Derivatives Winter 2019, 27 (2) 81-107; DOI: https://doi.org/10.3905/jod.2019.1.083

P

  1. Pimbley, Joseph M.

    1. Open Access
      Editor’s Letter
      Joseph M. Pimbley
      The Journal of Derivatives Winter 2019, 27 (2) 1-2; DOI: https://doi.org/10.3905/jod.2019.27.2.001

T

  1. Tee, Chyng Wen

    1. Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
      Poh Ling Neo and Chyng Wen Tee
      The Journal of Derivatives Winter 2019, 27 (2) 81-107; DOI: https://doi.org/10.3905/jod.2019.1.083

Z

  1. Zhu, Song-Ping

    1. Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
      Xin-Jiang He and Song-Ping Zhu
      The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
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