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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
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    • About JOD
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Latest Articles

  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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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