Table of Contents

Spring 2023; Volume 30,Issue 3

A

  1. Abasto, Damian F.

    1. On the Term Structure of VIX Futures’ Implied Convexity
      David H. Annis and Damian F. Abasto
      The Journal of Derivatives Spring 2023, 30 (3) 10-25; DOI: https://doi.org/10.3905/jod.2022.1.170

  2. Annis, David H.

    1. On the Term Structure of VIX Futures’ Implied Convexity
      David H. Annis and Damian F. Abasto
      The Journal of Derivatives Spring 2023, 30 (3) 10-25; DOI: https://doi.org/10.3905/jod.2022.1.170

C

  1. Choi, Jaehyung

    1. Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
      Young Shin Kim, Hyangju Kim, Jaehyung Choi and Frank J. Fabozzi
      The Journal of Derivatives Spring 2023, 30 (3) 42-64; DOI: https://doi.org/10.3905/jod.2022.1.175

F

  1. Fabozzi, Frank J.

    1. Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
      Young Shin Kim, Hyangju Kim, Jaehyung Choi and Frank J. Fabozzi
      The Journal of Derivatives Spring 2023, 30 (3) 42-64; DOI: https://doi.org/10.3905/jod.2022.1.175

G

  1. Guo, Shuxin

    1. Improving and Extending the Wu-Zhu Static Hedge
      Shuxin Guo and Qiang Liu
      The Journal of Derivatives Spring 2023, 30 (3) 26-41; DOI: https://doi.org/10.3905/jod.2022.1.173

H

  1. Huang, Zhuo

    1. Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX
      Chen Tong and Zhuo Huang
      The Journal of Derivatives Spring 2023, 30 (3) 117-143; DOI: https://doi.org/10.3905/jod.2022.1.174

K

  1. Kim, Hyangju

    1. Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
      Young Shin Kim, Hyangju Kim, Jaehyung Choi and Frank J. Fabozzi
      The Journal of Derivatives Spring 2023, 30 (3) 42-64; DOI: https://doi.org/10.3905/jod.2022.1.175

  2. Kim, Young Shin

    1. Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
      Young Shin Kim, Hyangju Kim, Jaehyung Choi and Frank J. Fabozzi
      The Journal of Derivatives Spring 2023, 30 (3) 42-64; DOI: https://doi.org/10.3905/jod.2022.1.175

  3. Koticha, Apoorva

    1. Sector Option Correlation Premiums and Predictable Changes in Implied Volatility
      Apoorva Koticha, Chen Li and Joseph M. Marks
      The Journal of Derivatives Spring 2023, 30 (3) 84-115; DOI: https://doi.org/10.3905/jod.2022.1.171

L

  1. Li, Chen

    1. Sector Option Correlation Premiums and Predictable Changes in Implied Volatility
      Apoorva Koticha, Chen Li and Joseph M. Marks
      The Journal of Derivatives Spring 2023, 30 (3) 84-115; DOI: https://doi.org/10.3905/jod.2022.1.171

  2. Liu, Qiang

    1. Improving and Extending the Wu-Zhu Static Hedge
      Shuxin Guo and Qiang Liu
      The Journal of Derivatives Spring 2023, 30 (3) 26-41; DOI: https://doi.org/10.3905/jod.2022.1.173

  3. Lou, Wujiang

    1. Pricing Total Return Swaps
      Wujiang Lou
      The Journal of Derivatives Spring 2023, 30 (3) 66-83; DOI: https://doi.org/10.3905/jod.2022.1.167

M

  1. Marks, Joseph M.

    1. Sector Option Correlation Premiums and Predictable Changes in Implied Volatility
      Apoorva Koticha, Chen Li and Joseph M. Marks
      The Journal of Derivatives Spring 2023, 30 (3) 84-115; DOI: https://doi.org/10.3905/jod.2022.1.171

P

  1. Pimbley, Joseph M.

    1. Editor’s Letter
      Joseph M. Pimbley
      The Journal of Derivatives Spring 2023, 30 (3) 1-4; DOI: https://doi.org/10.3905/jod.2023.30.3.001

T

  1. Tong, Chen

    1. Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX
      Chen Tong and Zhuo Huang
      The Journal of Derivatives Spring 2023, 30 (3) 117-143; DOI: https://doi.org/10.3905/jod.2022.1.174
Back to top

Explore our content to discover more relevant research

In this issue