Index by author

Fall 2020; Volume 28,Issue 1

C

  1. Capriotti, Luca

    1. 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

  2. Carr, Peter

    1. 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
    2. 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

F

  1. Fabozzi, Frank J.

    1. 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

  2. Focardi, Sergio

    1. 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

H

  1. Halperin, Igor

    1. 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

I

  1. Itkin, Andrey

    1. 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
    2. 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

K

  1. Kaushansky, Vadim

    1. 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

L

  1. Lipton, Alexander

    1. 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

M

  1. Mazza, Davide

    1. 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

  2. Muravey, Dmitry

    1. 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

P

  1. Pimbley, Joseph M.

    1. 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

S

  1. Stoikov, Sasha

    1. 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

V

  1. Vaia, Ruggero

    1. 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
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