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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

Summer 2020; Volume 27,Issue 4

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Summer 2020, 27 (4) 1-2; DOI: https://doi.org/10.3905/jod.2020.27.4.001

Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta

  • You have access
    Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta
    Fumio Hayashi
    The Journal of Derivatives Summer 2020, 27 (4) 6-12; DOI: https://doi.org/10.3905/jod.2020.1.099

Information Leakage in Energy Derivatives around News Announcements

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    Information Leakage in Energy Derivatives around News Announcements
    Marc J. M. Bohmann and Vinay Patel
    The Journal of Derivatives Summer 2020, 27 (4) 13-29; DOI: https://doi.org/10.3905/jod.2020.1.095

An Approximate Swaption Formula in Heath–Jarrow–Morton Models

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    An Approximate Swaption Formula in Heath–Jarrow–Morton Models
    Hideharu Funahashi
    The Journal of Derivatives Summer 2020, 27 (4) 30-50; DOI: https://doi.org/10.3905/jod.2020.1.101

The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency

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    The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
    Panha Heng, Scott J. Niblock, Jennifer L. Harrison and Hansi Hu
    The Journal of Derivatives Summer 2020, 27 (4) 51-76; DOI: https://doi.org/10.3905/jod.2020.1.097

Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method

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    Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method
    Haibin Xie, Mo Zhou and Tinghui Ruan
    The Journal of Derivatives Summer 2020, 27 (4) 77-88; DOI: https://doi.org/10.3905/jod.2020.1.096

How Do Options Affect the Volatility of the Underlying Equity Market? Evidence from the Introduction of Weekly Options

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    How Do Options Affect the Volatility of the Underlying Equity Market? Evidence from the Introduction of Weekly Options
    Yuan Wen
    The Journal of Derivatives Summer 2020, 27 (4) 89-107; DOI: https://doi.org/10.3905/jod.2020.1.100
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The Journal of Derivatives: 27 (4)
The Journal of Derivatives
Vol. 27, Issue 4
Summer 2020
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