The Journal of Derivatives

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An Approximate Swaption Formula in Heath-Jarrow-Morton Models
Hideharu Funahashi

The Journal of Derivatives Summer 2020, jod.2020.1.101; DOI: https://doi.org/10.3905/jod.2020.1.101
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Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta
Fumio Hayashi

The Journal of Derivatives Summer 2020, jod.2020.1.099; DOI: https://doi.org/10.3905/jod.2020.1.099
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Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva and Thomas Haversang

The Journal of Derivatives Spring 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093
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What Does Today’s Smile Imply About Future Volatilities?
Riccardo Rebonato

The Journal of Derivatives Spring 2020, 27 (3) 26-44; DOI: https://doi.org/10.3905/jod.2019.1.091
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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, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
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Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales
Giovanni Calice, Jing Chen and Julian Williams

The Journal of Derivatives Spring 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Spring 2020, 27 (3) 1-2; DOI: https://doi.org/10.3905/jod.2020.27.3.001
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Efficient Out-of-Sample Pricing of VIX Futures
Shuxin Guo and Qiang Liu

The Journal of Derivatives Spring 2020, 27 (3) 126-139; DOI: https://doi.org/10.3905/jod.2019.1.089
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Risk-Neutral Density Estimation: Looking at the Tails
Martin Reinke

The Journal of Derivatives Spring 2020, 27 (3) 99-125; DOI: https://doi.org/10.3905/jod.2019.1.090
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How Do Options Affect the Volatility of the Underlying Equity Market? Evidence from the Introduction of Weekly Options
Yuan Wen

The Journal of Derivatives Summer 2020, jod.2020.1.100; DOI: https://doi.org/10.3905/jod.2020.1.100

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