The Journal of Derivatives

Table of Contents

Spring 2022; Volume 29,Issue 3

Editor’s Letter

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Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Spring 2022, 29 (3) 1-3; DOI: https://doi.org/10.3905/jod.2021.29.3.001

Negative WTI Price: What Really Happened and What Can We Learn?

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Negative WTI Price: What Really Happened and What Can We Learn?
Lingjie Ma

The Journal of Derivatives Spring 2022, 29 (3) 9-29; DOI: https://doi.org/10.3905/jod.2021.1.141

Term Risk-Free Rates: Methodologies, Challenges, and the Future

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Term Risk-Free Rates: Methodologies, Challenges, and the Future
Xi (Figo) Liu and Yudi Bai

The Journal of Derivatives Spring 2022, 29 (3) 30-45; DOI: https://doi.org/10.3905/jod.2022.1.144

Equity Portfolio Trading with Volatility and Dividend Derivatives

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Equity Portfolio Trading with Volatility and Dividend Derivatives
Radu Tunaru

The Journal of Derivatives Spring 2022, 29 (3) 46-64; DOI: https://doi.org/10.3905/jod.2021.1.142

Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds

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Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds
Thorsten Lehnert

The Journal of Derivatives Spring 2022, 29 (3) 65-84; DOI: https://doi.org/10.3905/jod.2022.1.148

Pricing Dynamics of Oil Futures with Tail Risk

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Pricing Dynamics of Oil Futures with Tail Risk
Xinglin Yang, Ji Chen and Yiming Xu

The Journal of Derivatives Spring 2022, 29 (3) 85-105; DOI: https://doi.org/10.3905/jod.2022.1.151

American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion

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American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion
Tak Kuen Siu and Robert J. Elliott

The Journal of Derivatives Spring 2022, 29 (3) 106-123; DOI: https://doi.org/10.3905/jod.2022.1.147

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