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Journal of Derivatives

  • ID: 1286181
  • April 2016
  • Region: Global
  • Institutional Investor
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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. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques.

JOD includes articles about:

- The latest valuation and hedging models for derivative instruments and securities
- New tools and models for financial risk management
- How to apply academic derivatives theory and research to real-world problems
- Illustration and rigorous analysis of key innovations in derivative securities and derivative markets

You get four print issues a year plus online access to the complete archive of articles since 1993.

JOD is read by financial engineers, structured products professionals, academics, senior portfolio managers, strategists and derivatives analysts.

The Journal publishes articles in the general area of contingent claims theory and practice. This includes topics specifically related to derivative instruments and markets, and also a broad range of related areas, such as risk management and models of asset price processes.

JOD aims to be at the interface between practitioners and READ MORE >

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Sample articles include:

The Performance of Johnson Distributions for Computing

Value at Risk and Expected Shortfall

An Efficient Lattice Algorithm for the LIBOR Market Model

What Does Implied Volatility Skew Measure?

Accelerating the Calibration of Stochastic Volatility Models

Extracting Risk-Neutral Density and Its Moments from American Option Prices

Lattice Methods for No-Arbitrage Pricing of Interest Rate Securities

Modifying the LMM to Price Constant Maturity Swaps

A Fully Coupled Solution Algorithm for Pricing Options with Complex Barrier Structures

Fast Analytic Option Valuation with GARCH

The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing

A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model

Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures

Variance Risk Premia in Energy Commodities

Price Discovery in the Foreign Currency Futures and Spot Market

Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures

Asymmetric Dependence Implications for Extreme Risk Management

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

Cross-Sectional Analysis of Risk-Neutral Skewness

The Impact of Jump Dynamics on the Predictive Power of Option-Implied Densities

The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

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Editor: Stephen Figlewski, New York University

Coeditor: Sanjiv Das, Santa Clara University

Editorial Board

Giovanni Barone-Adesi
University of Lugano

Phelim P. Boyle
University of Waterloo, Ontario

Menachem Brenner
New York University

Peter Carr
Morgan Stanley

Don Chance
Louisiana State University

Michel Crouhy

Emanuel Derman
Columbia University

Robert Engle
New York University

Paul Glasserman
Columbia University

Sanford Grossman
Quantitative Financial Strategies, Inc.

Joanne M. Hill
ProFunds Group

Thomas Ho
Thomas Ho Company

John C. Hull
University of Toronto

Robert A. Jarrow
Cornell University

Nikunj Kapadia
University of Massachusetts, Amherst

Ira G. Kawaller
Kawaller & Co., LLC

Mark Kritzman
Windham Capital Management

Francis A. Longstaff
UCLA/Anderson School

Albert Menkveldt
VU University, Amsterdam

Eric S. Reiner

Don R. Rich
Northeastern University

Mark Rubinstein
University of California, Berkeley

Barry Schachter
Woodbine Capital Advisors LP

George Skiadopoulos
University of Piraeus

Clifford W. Smith
University of Rochester

Charles W. Smithson
Rutter Associates

Hans Stoll
Vanderbilt University
Owen Graduate School of Management

Marti Subrahmanyam
New York University

Rangarajan Sundaram
New York University

Stuart M. Turnbull
University of Houston

Ton Vorst
VU University, Amsterdam

Jason Wei
University of Toronto at Scarborough

Robert Whaley
Vanderbilt University

Alan White
University of Toronto

Heinz Zimmermann
Universität Basel, Switzerland

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