Table of Contents

Winter 2022; Volume 30,Issue 2

A

  1. Atteson, Kevin

    1. Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time
      Kevin Atteson and Peter Carr
      The Journal of Derivatives Winter 2022, 30 (2) 16-31; DOI: https://doi.org/10.3905/jod.2022.30.2.016

C

  1. Caenazzo, Simone

    1. Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin
      Lucia Cipolina-Kun, Simone Caenazzo and Ksenia Ponomareva
      The Journal of Derivatives Winter 2022, 30 (2) 127-140; DOI: https://doi.org/10.3905/jod.2022.30.2.127

  2. Carr, Peter

    1. Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time
      Kevin Atteson and Peter Carr
      The Journal of Derivatives Winter 2022, 30 (2) 16-31; DOI: https://doi.org/10.3905/jod.2022.30.2.016
    2. Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson
      Peter Carr and Umberto Cherubini
      The Journal of Derivatives Winter 2022, 30 (2) 74-93; DOI: https://doi.org/10.3905/jod.2022.30.2.074
    3. Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution
      Peter Carr and Federico Maglione
      The Journal of Derivatives Winter 2022, 30 (2) 94-125; DOI: https://doi.org/10.3905/jod.2022.1.172
    4. Financial Interpretation of Feller’s Factorization
      Peter Carr and Claudio Tebaldi
      The Journal of Derivatives Winter 2022, 30 (2) 49-63; DOI: https://doi.org/10.3905/jod.2022.30.2.049
    5. Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model
      Peter Carr, Andrey Itkin and Dmitry Muravey
      The Journal of Derivatives Winter 2022, 30 (2) 141-171; DOI: https://doi.org/10.3905/jod.2022.30.2.141

  3. Cherubini, Umberto

    1. Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson
      Peter Carr and Umberto Cherubini
      The Journal of Derivatives Winter 2022, 30 (2) 74-93; DOI: https://doi.org/10.3905/jod.2022.30.2.074

  4. Cipolina-Kun, Lucia

    1. Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin
      Lucia Cipolina-Kun, Simone Caenazzo and Ksenia Ponomareva
      The Journal of Derivatives Winter 2022, 30 (2) 127-140; DOI: https://doi.org/10.3905/jod.2022.30.2.127

D

  1. Davis, Tom P.

    1. Malliavin Derivatives of Derivative Securities
      Tom P. Davis
      The Journal of Derivatives Winter 2022, 30 (2) 65-73; DOI: https://doi.org/10.3905/jod.2022.30.2.065

G

  1. Galeeva, Roza

    1. Deriving Better Second-Order Derivatives
      Roza Galeeva
      The Journal of Derivatives Winter 2022, 30 (2) 32-48; DOI: https://doi.org/10.3905/jod.2022.30.2.032

I

  1. Itkin, Andrey

    1. 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
    2. 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
    3. Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model
      Peter Carr, Andrey Itkin and Dmitry Muravey
      The Journal of Derivatives Winter 2022, 30 (2) 141-171; DOI: https://doi.org/10.3905/jod.2022.30.2.141

L

  1. Lipton, Alex

    1. 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

M

  1. Maglione, Federico

    1. Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution
      Peter Carr and Federico Maglione
      The Journal of Derivatives Winter 2022, 30 (2) 94-125; DOI: https://doi.org/10.3905/jod.2022.1.172

  2. Mercurio, Fabio

    1. 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

  3. Muravey, Dmitry

    1. Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model
      Peter Carr, Andrey Itkin and Dmitry Muravey
      The Journal of Derivatives Winter 2022, 30 (2) 141-171; DOI: https://doi.org/10.3905/jod.2022.30.2.141

P

  1. Ponomareva, Ksenia

    1. Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin
      Lucia Cipolina-Kun, Simone Caenazzo and Ksenia Ponomareva
      The Journal of Derivatives Winter 2022, 30 (2) 127-140; DOI: https://doi.org/10.3905/jod.2022.30.2.127

S

  1. Shimko, David

    1. 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

T

  1. Tebaldi, Claudio

    1. Financial Interpretation of Feller’s Factorization
      Peter Carr and Claudio Tebaldi
      The Journal of Derivatives Winter 2022, 30 (2) 49-63; DOI: https://doi.org/10.3905/jod.2022.30.2.049

W

  1. Wu, Liuren

    1. 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
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