The Journal of Derivatives

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Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva and Thomas Haversang

The Journal of Derivatives Spring 2020, jod.2019.1.093; DOI: https://doi.org/10.3905/jod.2019.1.093
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An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
Junmei Ma, Sihuan Huang and Wei Xu

The Journal of Derivatives Spring 2020, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
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Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Winter 2019, 27 (2) 1-2; DOI: https://doi.org/10.3905/jod.2019.27.2.001
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Geometric Local Variance Gamma Model
P. Carr and A. Itkin

The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084
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Model Uncertainty and Pricing Performance in Option Valuation
Dennis Bams, Gildas Blanchard and Thorsten Lehnert

The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086
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Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
Xin-Jiang He and Song-Ping Zhu

The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
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The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
Robert Brooks, Don Chance and Michael Hemler

The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087
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Fourier Method for Valuation of Options under Parameter and State Uncertainty
Erik Lindström

The Journal of Derivatives Winter 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085
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Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
Poh Ling Neo and Chyng Wen Tee

The Journal of Derivatives Winter 2019, 27 (2) 81-107; DOI: https://doi.org/10.3905/jod.2019.1.083
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What Does Today’s Smile Imply About Future Volatilities?
Riccardo Rebonato

The Journal of Derivatives Spring 2020, jod.2019.1.091; DOI: https://doi.org/10.3905/jod.2019.1.091

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