Derivatives

An Alternative Option to Portfolio Rebalancing
Roni Israelov and Harsha Tummala
The Journal of Derivatives Spring 2018, 25 (3) 7-32; DOI: https://doi.org/10.3905/jod.2018.25.3.007

The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence
Heinz Zimmermann
The Journal of Derivatives Spring 2018, 25 (3) 81-87; DOI: https://doi.org/10.3905/jod.2018.25.3.081

Trading the VIX Futures Roll Using Exchange-Traded Funds
David L. Buehler and Patrick J. Cusatis
The Journal of Trading Spring 2018, 13 (2) 47-56; DOI: https://doi.org/10.3905/jot.2018.13.2.047

Sector Option Implied Volatility Dynamics and Predictability
Joseph M. Marks and David P. Simon
The Journal of Derivatives Winter 2017, 25 (2) 22-42; DOI: https://doi.org/10.3905/jod.2017.25.2.022

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Mode
Vincenzo Russo and Frank J. Fabozzi
The Journal of Fixed Income Fall 2017, 27 (2) 30-36; DOI: https://doi.org/10.3905/jfi.2017.27.2.030

Volatility Leadership Among Index Options
Stephen Figlewski and Anja Frommherz
The Journal of Derivatives Winter 2017, 25 (2) 43-60; DOI: https://doi.org/10.3905/jod.2017.25.2.043

Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility
Jacinto Marabel Romo
The Journal of Derivatives Summer 2014, 21 (4) 82-102; DOI: https://doi.org/10.3905/jod.2014.21.4.082

Calibrating and Pricing with a Stochastic-Local Volatility Model
Yu Tian, Zili Zhu, Geoffrey Lee, Fima Klebaner and Kais Hamza
The Journal of Derivatives Spring 2015, 22 (3) 21-39; DOI: https://doi.org/10.3905/jod.2015.22.3.021

Hedging Systematic Risk in High Yield Portfolios with a Synthetic Overlay: A Comparative Analysis of Equity Instruments vs. Credit Default Swaps
Arik Ben Dor and Jingling Guan
The Journal of Fixed Income Spring 2017, 26 (4) 5-24; DOI: https://doi.org/10.3905/jfi.2017.26.4.005