The Journal of Derivatives

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

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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?

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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

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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

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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

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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

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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

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