The Journal of Derivatives

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Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method
Haibin Xie, Mo Zhou and Tinghui Ruan

The Journal of Derivatives Summer 2020, 27 (4) 77-88; DOI: https://doi.org/10.3905/jod.2020.1.096
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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, 27 (4) 89-107; DOI: https://doi.org/10.3905/jod.2020.1.100
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An Approximate Swaption Formula in Heath–Jarrow–Morton Models
Hideharu Funahashi

The Journal of Derivatives Summer 2020, 27 (4) 30-50; DOI: https://doi.org/10.3905/jod.2020.1.101
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Summer 2020, 27 (4) 1-2; DOI: https://doi.org/10.3905/jod.2020.27.4.001
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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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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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