Statistical methods
- Curve-Fitting Method for Implied VolatilityDesheng Wu and Tianxiang LiuThe Journal of Derivatives November 2018, 26 (2) 19-37; DOI: https://doi.org/10.3905/jod.2018.26.2.019
- The Decline of Informed Trading in the Equity and Options MarketsCharles Cao, David Gempesaw and Timothy SiminThe Journal of Alternative Investments September 2018, 21 (2) 16-29; DOI: https://doi.org/10.3905/jai.2018.1.064
- Duration and GlobalizationZvika Afik, Gady Jacoby and Zvi WienerThe Journal of Fixed Income September 2018, 28 (2) 31-43; DOI: https://doi.org/10.3905/jfi.2018.28.2.031
- Stephen Ross’s Contribution to Ex Post Conditioning and Survival Bias in Empirical ResearchStephen J. Brown and William N. GoetzmannThe Journal of Portfolio Management June 2018, 44 (6) 42-46; DOI: https://doi.org/10.3905/jpm.2018.44.6.042
- CAT Bond Spreads via HARA Utility and Nonparametric TestsDenis-Alexandre Trottier, Van Son Lai and Anne-Sophie CharestThe Journal of Fixed Income June 2018, 28 (1) 75-99; DOI: https://doi.org/10.3905/jfi.2018.1.062
- Bond Portfolio Optimization in the Presence of Duration ConstraintsRomain Deguest, Frank Fabozzi, Lionel Martellini and Vincent MilhauThe Journal of Fixed Income June 2018, 28 (1) 6-26; DOI: https://doi.org/10.3905/jfi.2018.1.061
- Interest Rate Future Quality Options and Negative Interest RatesAlejandro Balbás and Ricardo LabordaThe Journal of Fixed Income June 2018, 28 (1) 61-73; DOI: https://doi.org/10.3905/jfi.2018.28.1.061
- Solving the Spread Curve PuzzleMartin Fridson, Yaxian Li and Kai ZhaoThe Journal of Fixed Income June 2018, 28 (1) 38-47; DOI: https://doi.org/10.3905/jfi.2018.28.1.038
- New Approach to Estimating VIX Truncation Errors Using Corridor Variance SwapsDesheng Wu and Tianxiang LiuThe Journal of Derivatives May 2018, 25 (4) 54-70; DOI: https://doi.org/10.3905/jod.2018.1.066
- Implied Volatility across Geographical Markets and Asset ClassesJulian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo ToledoThe Journal of Derivatives May 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065
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