Table of Contents

Winter 2022; Volume 30,Issue 2

Editor’s Letter

  • Editor’s Letter
    Andrey Itkin, Alex Lipton, Fabio Mercurio, David Shimko and Liuren Wu
    The Journal of Derivatives Winter 2022, 30 (2) 1-2; DOI: https://doi.org/10.3905/jod.2022.30.2.001

My Reminiscences of Peter Carr

  • My Reminiscences of Peter Carr
    Andrey Itkin
    The Journal of Derivatives Winter 2022, 30 (2) 8-15; DOI: https://doi.org/10.3905/jod.2022.30.2.008

Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time

Deriving Better Second-Order Derivatives

Financial Interpretation of Feller’s Factorization

Malliavin Derivatives of Derivative Securities

Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson

Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution

Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model

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