Aim & Scope
The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. The JOD provides full treatment of mathematical and statistical information on derivative products and techniques, with a focus on results-oriented analysis. Some of the topics appearing frequently in the JOD include: the latest valuation and hedging models for derivative instruments and securities; new tools and models for financial risk management; the application of academic derivatives theory and research to real-world problems; and rigorous analysis of key innovations in the derivatives markets. [1]
2024
Inferring the Implied Volatility of SOFR-Based Swaptions
Journal of Derivatives , 2024 , p jod.2024.1.201.
Exploiting the Gap Between Implied and Realized Volatility
J Umarov , E Lütkebohmert , R Halbleib
Journal of Derivatives , 2024 , p jod.2024.1.202.
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections
Journal of Derivatives , 2024 , p jod.2024.1.204.
LIBOR Reform: Option Pricing for Compounded Rates
Journal of Derivatives , 2024 , p jod.2024.1.205.
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion
Journal of Derivatives , 2024 , p jod.2024.1.206.
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction
Journal of Derivatives , 2024 , p jod.2024.1.207.