The Journal of Derivatives

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Long and Short Memory in the Risk-Neutral Pricing Process
Young Shin Kim, Danling Jiang and Stoyan Stoyanov

The Journal of Derivatives Summer 2019, 26 (4) 71-88; DOI: https://doi.org/10.3905/jod.2019.1.077
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Exact Replication of the Best Rebalancing Rule in Hindsight
Alex Garivaltis

The Journal of Derivatives Summer 2019, 26 (4) 35-53; DOI: https://doi.org/10.3905/jod.2019.26.4.035
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Currency Target Zones as Mirrored Options
Sandro Claudio Lera, Matthias Leiss and Didier Sornette

The Journal of Derivatives Spring 2019, 26 (3) 53-67; DOI: https://doi.org/10.3905/jod.2019.26.3.053
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A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
Feifan Wu, Xundi Diao and Chongfeng Wu

The Journal of Derivatives Spring 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072
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Evolution of Real Estate Derivatives and Their Pricing
Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru

The Journal of Derivatives Spring 2019, 26 (3) 7-21; DOI: https://doi.org/10.3905/jod.2019.26.3.007
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The Determinants of CoCo Bond Prices
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff

The Journal of Derivatives Spring 2019, 26 (3) 35-52; DOI: https://doi.org/10.3905/jod.2019.26.3.035
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A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks
Frédéric Godin

The Journal of Derivatives Spring 2019, 26 (3) 97-107; DOI: https://doi.org/10.3905/jod.2019.1.071
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Pricing Bermudan Variance Swaptions Using Multinomial Trees
Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu

The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022
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Volatility Surface Calibration to Illiquid Options
László Nagy and Mihály Ormos

The Journal of Derivatives Spring 2019, 26 (3) 87-96; DOI: https://doi.org/10.3905/jod.2019.26.3.087
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Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Spring 2019, 26 (3) 1-3; DOI: https://doi.org/10.3905/jod.2019.26.3.001

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