Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Table of Contents

Spring 2020; Volume 27,Issue 3

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2020, 27 (3) 1-2; DOI: https://doi.org/10.3905/jod.2020.27.3.001

Parameterized Calendar Correlations: Decoding Oil and Beyond

  • You have access
    Parameterized Calendar Correlations: Decoding Oil and Beyond
    Roza Galeeva and Thomas Haversang
    The Journal of Derivatives Spring 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093

What Does Today’s Smile Imply About Future Volatilities?

  • You have access
    What Does Today’s Smile Imply About Future Volatilities?
    Riccardo Rebonato
    The Journal of Derivatives Spring 2020, 27 (3) 26-44; DOI: https://doi.org/10.3905/jod.2019.1.091

Forecasting Options Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales

  • You have access
    Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales
    Giovanni Calice, Jing Chen and Julian Williams
    The Journal of Derivatives Spring 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094

An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models

  • You have access
    An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
    Junmei Ma, Sihuan Huang and Wei Xu
    The Journal of Derivatives Spring 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092

Risk-Neutral Density Estimation: Looking at the Tails

  • You have access
    Risk-Neutral Density Estimation: Looking at the Tails
    Martin Reinke
    The Journal of Derivatives Spring 2020, 27 (3) 99-125; DOI: https://doi.org/10.3905/jod.2019.1.090

Efficient Out-of-Sample Pricing of VIX Futures

  • You have access
    Efficient Out-of-Sample Pricing of VIX Futures
    Shuxin Guo and Qiang Liu
    The Journal of Derivatives Spring 2020, 27 (3) 126-139; DOI: https://doi.org/10.3905/jod.2019.1.089
Back to top
PreviousNext

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives: 27 (3)
The Journal of Derivatives
Vol. 27, Issue 3
Spring 2020
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Sign up for alerts
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies