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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

Fall 2020; Volume 28,Issue 1

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Fall 2020, 28 (1) 1-3; DOI: https://doi.org/10.3905/jod.2020.28.1.001

Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities

  • You have access
    Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities
    Luca Capriotti and Ruggero Vaia
    The Journal of Derivatives Fall 2020, 28 (1) 8-25; DOI: https://doi.org/10.3905/jod.2020.1.107

Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models

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    Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models
    Peter Carr, Andrey Itkin and Dmitry Muravey
    The Journal of Derivatives Fall 2020, 28 (1) 26-50; DOI: https://doi.org/10.3905/jod.2020.1.113

Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility

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    Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility
    Peter Carr, Andrey Itkin and Sasha Stoikov
    The Journal of Derivatives Fall 2020, 28 (1) 51-78; DOI: https://doi.org/10.3905/jod.2020.1.110

Quantum Option Pricing and Quantum Finance

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    Quantum Option Pricing and Quantum Finance
    Sergio Focardi, Frank J. Fabozzi and Davide Mazza
    The Journal of Derivatives Fall 2020, 28 (1) 79-98; DOI: https://doi.org/10.3905/jod.2020.1.111

QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds

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    QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
    Igor Halperin
    The Journal of Derivatives Fall 2020, 28 (1) 99-122; DOI: https://doi.org/10.3905/jod.2020.1.108

Physics and Derivatives: On Three Important Problems in Mathematical Finance

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    Physics and Derivatives: On Three Important Problems in Mathematical Finance
    Alexander Lipton and Vadim Kaushansky
    The Journal of Derivatives Fall 2020, 28 (1) 123-142; DOI: https://doi.org/10.3905/jod.2020.1.098

Interviews with Researchers Who Started Their Career in Physics but Moved to Finance

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    Interviews with Researchers Who Started Their Career in Physics but Moved to Finance
    The Journal of Derivatives Fall 2020, 28 (1) 143-159; DOI: https://doi.org/10.3905/jod.2020.1.112
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The Journal of Derivatives: 28 (1)
The Journal of Derivatives
Vol. 28, Issue 1
Fall 2020
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