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The Journal of Derivatives

Latest Articles

• You have access Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation Qi Wang , Qian Zhang , Zerong Wang and Yuanyuan Zhang The Journal of Derivatives Summer 2024, 31 (4) 98-124 ; DOI: https://doi.org/10.3905/jod.2024.1.203
• You have access Inferring the Implied Volatility of SOFR-Based Swaptions Meng-Lan Yueh and Cho-Jui Wu The Journal of Derivatives Summer 2024, 31 (4) 157-179 ; DOI: https://doi.org/10.3905/jod.2024.1.201
• You have access Editor’s Letter Joseph M. Pimbley The Journal of Derivatives Summer 2024, 31 (4) 1-7 ; DOI: https://doi.org/10.3905/jod.2024.31.4.001
• You have access Implied Willow Tree Bing Dong , Wei Xu and Zhenyu Cui The Journal of Derivatives Summer 2024, 31 (4) 44-74 ; DOI: https://doi.org/10.3905/jod.2024.1.200
• You have access Exploiting the Gap Between Implied and Realized Volatility Javdat Umarov , Eva Lütkebohmert and Roxana Halbleib The Journal of Derivatives Summer 2024, 31 (4) 12-42 ; DOI: https://doi.org/10.3905/jod.2024.1.202
• You have access Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections Romain Barc The Journal of Derivatives Summer 2024, 31 (4) 126-155 ; DOI: https://doi.org/10.3905/jod.2024.1.204

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In our series of videos, the authors of research published in The Journal of Derivatives , discuss the findings of their article, offering more in-depth analysis around it and explain how the conclusions can be implemented in practice.

ABOUT THE JOURNAL OF DERIVATIVES

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 provides full treatment of mathematical and statistical information on derivative products and techniques, with a focus on results-oriented analysis.

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Volumes and issues

Volume 27 april - july 2024 apr - jul 2024.

• Issue 2 July 2024
• Issue 1 April 2024

Volume 26 April - October 2023 Apr - Oct 2023

• Issue 2-3 October 2023
• Issue 1 April 2023

Volume 25 April - October 2022 Apr - Oct 2022

• Issue 3 October 2022
• Issue 2 July 2022
• Issue 1 April 2022

Volume 24 April - October 2021 Apr - Oct 2021

• Issue 3 October 2021
• Issue 2 July 2021
• Issue 1 April 2021

Volume 23 April - October 2020 Apr - Oct 2020

• Issue 3 October 2020
• Issue 2 July 2020
• Issue 1 April 2020

Volume 22 April - October 2019 Apr - Oct 2019

• Issue 3 October 2019
• Issue 2 July 2019
• Issue 1 April 2019

Volume 21 April - October 2018 Apr - Oct 2018

• Issue 3 October 2018
• Issue 2 July 2018
• Issue 1 April 2018

Volume 20 April - October 2017 Apr - Oct 2017

• Issue 3 October 2017
• Issue 2 July 2017
• Issue 1 April 2017

Volume 19 April - October 2016 Apr - Oct 2016

• Issue 3 October 2016
• Issue 2 July 2016
• Issue 1 April 2016

Volume 18 April - October 2015 Apr - Oct 2015

• Issue 3 October 2015
• Issue 2 July 2015
• Issue 1 April 2015

Volume 17 April - October 2014 Apr - Oct 2014

• Issue 3 October 2014
• Issue 2 July 2014
• Issue 1 April 2014

Volume 16 April - October 2013 Apr - Oct 2013

• Issue 3 October 2013
• Issue 2 July 2013
• Issue 1 April 2013

Volume 15 April - October 2012 Apr - Oct 2012

• Issue 3 October 2012
• Issue 2 July 2012
• Issue 1 April 2012

Volume 14 April - October 2011 Apr - Oct 2011

• Issue 3 October 2011

Special Issue on Topic in Hedge Fund Research

• Issue 1 April 2011

Volume 13 April - October 2010 Apr - Oct 2010

• Issue 3 October 2010
• Issue 2 July 2010
• Issue 1 April 2010

Volume 12 April - October 2009 Apr - Oct 2009

• Issue 3 October 2009
• Issue 2 July 2009

Special Issue on Advances in Mean Variance Hedgeing, Guest Editors: Ales Cerny and Peter Bank

Volume 11 March - October 2008 Mar - Oct 2008

• Issue 3 October 2008
• Issue 1-2 March 2008

Volume 10 January - December 2007 Jan - Dec 2007

• Issue 3 December 2007
• Issue 2 May 2007
• Issue 1 January 2007

Volume 9 January - November 2006 Jan - Nov 2006

• Issue 3 November 2006
• Issue 2 September 2006
• Issue 1 January 2006

Volume 8 June - December 2005 Jun - Dec 2005

• Issue 3 December 2005
• Issue 2 August 2005
• Issue 1 June 2005

Volume 7 January - December 2004 Jan - Dec 2004

• Issue 3 December 2004
• Issue 2 August 2004
• Issue 1 January 2004

Volume 6 January - October 2003 Jan - Oct 2003

• Issue 3 October 2003
• Issue 2 May 2003
• Issue 1 January 2003

Volume 5 January - October 2002 Jan - Oct 2002

• Issue 3 October 2002
• Issue 2 May 2002
• Issue 1 January 2002

Volume 4 May - October 2000 May - Oct 2000

• Issue 3 October 2000
• Issue 1 June 2000
• Issue 2 May 2000

Volume 3 January 1999 - October 2000 Jan 1999 - Oct 2000

• Issue 2 May 1999
• Issue 1 January 1999

Volume 2 March - December 1998 Mar - Dec 1998

• Issue 4 December 1998
• Issue 2-3 December 1998
• Issue 1 March 1998

Volume 1 February - October 1996 Feb - Oct 1996

• Issue 3 October 1996
• Issue 2 June 1996
• Issue 1 February 1996
• Find a journal
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• Track your research

You can publish an open access article in this platinum partnership journal. Authors in this journal are not required to pay an article processing charge (APC)

Journal of Derivatives and Quantitative Studies: Seonmul yeon"™gu

• Submit your paper
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Before you start

For queries relating to the status of your paper pre decision, please contact the Editor or Journal Editorial Office. For queries post acceptance, please contact the Supplier Project Manager. These details can be found in the Editorial Team section.

Author responsibilities

Our goal is to provide you with a professional and courteous experience at each stage of the review and publication process. There are also some responsibilities that sit with you as the author. Our expectation is that you will:

• Respond swiftly to any queries during the publication process.
• Be accountable for all aspects of your work. This includes investigating and resolving any questions about accuracy or  research integrity
• Treat communications between you and the journal editor as confidential until an editorial decision has been made.
• Include  anyone who has made a substantial and meaningful contribution to the submission (anyone else involved in the paper should be listed in the acknowledgements).
• Exclude  anyone who hasn’t contributed to the paper, or who has chosen not to be associated with the research.
• In accordance with COPE’s position statement on AI tools , Large Language Models cannot be credited with authorship as they are incapable of conceptualising a research design without human direction and cannot be accountable for the integrity, originality, and validity of the published work.
• If your article involves human participants, you must ensure you have considered whether or not you require ethical approval for your research, and include this information as part of your submission. Find out more about  informed consent .

Research and publishing ethics

Our editors and employees work hard to ensure the content we publish is ethically sound. To help us achieve that goal, we closely follow the advice laid out in the guidelines and flowcharts on the  COPE (Committee on Publication Ethics) website .

We have also developed our  research and publishing ethics guidelines . If you haven’t already read these, we urge you to do so – they will help you avoid the most common publishing ethics issues.

A few key points:

• Any manuscript you submit to this journal should be original. That means it should not have been published before in its current, or similar, form. Exceptions to this rule are outlined in our  pre-print and conference paper policies .  If any substantial element of your paper has been previously published, you need to declare this to the journal editor upon submission. Please note, the journal editor may use  Crossref Similarity Check  to check on the originality of submissions received. This service compares submissions against a database of 49 million works from 800 scholarly publishers.
• Your work should not have been submitted elsewhere and should not be under consideration by any other publication.
• If you have a conflict of interest, you must declare it upon submission; this allows the editor to decide how they would like to proceed. Read about conflict of interest in our  research and publishing ethics guidelines .
• By submitting your work to Emerald, you are guaranteeing that the work is not in infringement of any existing copyright.

Third party copyright permissions

Prior to article submission,  you need to ensure you’ve applied for, and received,   written permission to use any material in your manuscript that has been created by a third party. Please note, we are unable to publish any article that still has permissions pending. The rights we require are:

• Non-exclusive rights to reproduce the material in the article or book chapter.
• Print and electronic rights.
• Worldwide English-language rights.
• To use the material for the life of the work. That means there should be no time restrictions on its re-use e.g. a one-year licence.

We are a member of the International Association of Scientific, Technical, and Medical Publishers (STM) and participate in the  STM permissions guidelines , a reciprocal free exchange of material with other STM publishers.  In some cases, this may mean that you don’t need permission to re-use content. If so, please highlight this at the submission stage.

Please take a few moments to read our  guide to publishing permissions  to ensure you have met all the requirements, so that we can process your submission without delay.

Open access information

This is a sponsored open access journal, also referred to as platinum open access. Because it is published in partnership with an organisation, your article will be published open access, but you will not have to pay an APC (article processing charge) - publication is free. Your article will be published with a  Creative Commons CC BY 4.0 user licence , which outlines how readers can reuse your work.

You can find out more about our open access routes and read our FAQs on our open research page. 

Find out about open

Transparency and Openness Promotion (TOP) Guidelines

We are a signatory of the  Transparency and Openness Promotion (TOP) Guidelines , a framework that supports the reproducibility of research through the adoption of transparent research practices. That means we encourage you to:

• Cite and fully reference all data, program code, and other methods in your article.
• Include persistent identifiers, such as a Digital Object Identifier (DOI), in references for datasets and program codes. Persistent identifiers ensure future access to unique published digital objects, such as a piece of text or datasets. Persistent identifiers are assigned to datasets by digital archives, such as institutional repositories and partners in the Data Preservation Alliance for the Social Sciences (Data-PASS).
• Follow appropriate international and national procedures with respect to data protection, rights to privacy and other ethical considerations, whenever you cite data. For further guidance please refer to our  research and publishing ethics guidelines . For an example on how to cite datasets, please refer to the references section below.

Prepare your submission

Manuscript support services.

We are pleased to partner with Editage, a platform that connects you with relevant experts in language support, translation, editing, visuals, consulting, and more. After you’ve agreed a fee, they will work with you to enhance your manuscript and get it submission-ready.

This is an optional service for authors who feel they need a little extra support. It does not guarantee your work will be accepted for review or publication.

Visit Editage

Manuscript requirements

Before you submit your manuscript, it’s important you read and follow the guidelines below. You will also find some useful tips in our  structure your journal submission  how-to guide.

Submit your manuscript

There are a number of key steps you should follow to ensure a smooth and trouble-free submission.

Double check your manuscript

Before submitting your work, it is your responsibility to check that the manuscript is complete, grammatically correct, and without spelling or typographical errors. A few other important points:

• Give the journal aims and scope a final read. Is your manuscript definitely a good fit? If it isn’t, the editor may decline it without peer review.
• Does your manuscript comply with our  research and publishing ethics guidelines ?
• Have you cleared any necessary  publishing permissions ?
• Have you followed all the formatting requirements laid out in these author guidelines?
• If you need to refer to your own work, use wording such as ‘previous research has demonstrated’ not ‘our previous research has demonstrated’.
• If you need to refer to your own, currently unpublished work, don’t include this work in the reference list.
• Any acknowledgments or author biographies should be uploaded as separate files.
• Carry out a final check to ensure that no author names appear anywhere in the manuscript. This includes in figures or captions.

You will find a helpful submission checklist on the website  Think.Check.Submit .

The submission process

All manuscripts should be submitted through our editorial system by the corresponding author.

A separate author account is required for each journal you submit to. If this is your first time submitting to this journal, please choose the  Create an account  or  Register now  option in the editorial system. If you already have an Emerald login, you are welcome to reuse the existing username and password here.

Please note, the next time you log into the system, you will be asked for your username. This will be the email address you entered when you set up your account.

Don't forget to add your  ORCiD ID   during the submission process. It will be embedded in your published article, along with a link to the ORCiD registry allowing others to easily match you with your work.

Don’t have one yet? It only takes a few moments to  register for a free ORCiD identifier .

Visit the  ScholarOne support centre  for further help and guidance.

What you can expect next

You will receive an automated email from the journal editor, confirming your successful submission. It will provide you with a manuscript number, which will be used in all future correspondence about your submission. If you have any reason to suspect the confirmation email you receive might be fraudulent, please contact our Rights team on  [email protected]

Post submission

Review and decision process.

Each submission is checked by the editor. At this stage, they may choose to decline or unsubmit your manuscript if it doesn’t fit the journal aims and scope, or they feel the language/manuscript quality is too low.

If they think it might be suitable for the publication, they will send it to at least two independent referees for double anonymous peer review.  Once these reviewers have provided their feedback, the editor may decide to accept your manuscript, request minor or major revisions, or decline your work.

While all journals work to different timescales, the goal is that the editor will inform you of their first decision within 60 days.

During this period, we will send you automated updates on the progress of your manuscript via our submission system, or you can log in to check on the current status of your paper.  Each time we contact you, we will quote the manuscript number you were given at the point of submission. If you receive an email that does not match these criteria, it could be fraudulent and we recommend you email  [email protected] .

If your submission is accepted

All accepted authors are sent an email with a link to a licence form. This should be checked for accuracy, for example whether contact and affiliation details are up to date and your name is spelled correctly, and then returned to us electronically. 

Proofing and typesetting

Once we have received your completed licence form, the article will pass directly into the production process. We will carry out editorial checks, copyediting, and typesetting and then return proofs to you (if you are the corresponding author) for your review. This is your opportunity to correct any typographical errors, grammatical errors or incorrect author details. We can’t accept requests to rewrite texts at this stage.

When the page proofs are finalised, the fully typeset and proofed version of record is published online. This is referred to as the  EarlyCite  version. While an EarlyCite article has yet to be assigned to a volume or issue, it does have a digital object identifier (DOI) and is fully citable. It will be compiled into an issue according to the journal’s issue schedule, with papers being added by chronological date of publication.

How to share your paper

Visit our author rights page  to find out how you can reuse and share your work.

To find tips on increasing the visibility of your published paper, read about  how to promote your work .

Correcting inaccuracies in your published paper

Sometimes errors are made during the research, writing and publishing processes. When these issues arise, we have the option of withdrawing the paper or introducing a correction notice. Find out more about our  article withdrawal and correction policies .

Need to make a change to the author list? See our frequently asked questions (FAQs) below.

Frequently asked questions

• Byung Jin Kang Soongsil University, South Korea [email protected]

Publishing Services Manager

• Judy Yeh Emerald Publishing [email protected]

Journal Editorial Office (For queries related to pre-acceptance)

• Shivani Verma Emerald Publishing [email protected]

Supplier Project Manager (For queries related to post-acceptance)

• Sivakeerthika Saravanan Emerald Publishing [email protected]

Associate Editor

• Yongkil Ahn Seoul National University of Science and Technology, South Korea
• Byeong-Je An San Diego State University, USA
• Kwangil Bae Chonnam National University, South Korea
• Jaehyuk Choi Peking University HSBC Business School, China
• Jaewon Choi University of Illinois at Urbana-Champaign, USA
• Sujung Choi Soongsil University, South Korea
• Guanhao (Gavin) Feng City University of Hong Kong, Hong Kong
• Jungsuk Han Seoul National University, South Korea
• Huisu Jang Soongsil University, South Korea
• Yeejin Jang University of New South Wales, Australia
• Byounghyun Jeon Marquette University, USA
• Henny Jung University of Melbourne, Australia
• Byoung Uk Kang Hongkong Polytechnic University, Hong Kong
• Hugh Hoikwang Kim University of South Carolina, USA
• Jun Sik Kim Incheon National University, South Korea
• Jungmu Kim Yeungnam University, South Korea
• Kyoung-Kuk Kim Korea Advanced Institute of Science and Technology, South Korea
• Ryumi Kim Chungbuk National University, South Korea
• Kuan-Cheng Ko National Chi Nan University, Taiwan
• Dongyoup Lee Kookmin University, South Korea
• Jeongmin Lee Washington University in St. Louis, USA
• Jun-Youp Lee Ajou University, South Korea
• Yu Kyung Lee Pukyong National University, South Korea
• Byoungkyu Min Hanyang University, South Korea
• Joonki Noh Case Western Reserve University, USA
• Ji Yeol Jimmy Oh Sungkyunkwan University, South Korea
• Jong Min Oh Sung Kyun Kwan University, South Korea
• Yuen Jung Park Hallym University, South Korea
• Tai-Yong Roh Liaoning University, China
• Sung Won Seo Konkuk University, South Korea
• Carl Shen Macquarie University, Australia
• Shu-Feng Wang Ajou University, South Korea
• Kisung Yang Soongsil University, South Korea
• Sun-Joong Yoon Dongguk University, South Korea

Editorial Advisory Board

• Kook Hyun Chang Konkuk University, South Korea
• Jong Yeon Choi Hanyang University, South Korea
• Youngsoo Choi Hankuk University of Foreign Studies, South Korea
• Jang Koo Kang KAIST, South Korea
• Bum J. Kim Soongsil University, South Korea
• Myung Jig Kim Hanyang University, South Korea
• Sol Kim Hankuk University of Foreign Studies, South Korea
• Tong Suk Kim KAIST, South Korea
• Eun Jung Lee Hanyang University, South Korea
• Joon Hee Rhee Soongsil University, South Korea
• Chang Hyun Yun University of Seoul, South Korea
• Jeongsun Yun Kookmin University, South Korea

Citation metrics

CiteScore 2023

Further information

CiteScore is a simple way of measuring the citation impact of sources, such as journals.

Calculating the CiteScore is based on the number of citations to documents (articles, reviews, conference papers, book chapters, and data papers) by a journal over four years, divided by the number of the same document types indexed in Scopus and published in those same four years.

For more information and methodology visit the Scopus definition

CiteScore Tracker 2024

(updated monthly)

CiteScore Tracker is calculated in the same way as CiteScore, but for the current year rather than previous, complete years.

The CiteScore Tracker calculation is updated every month, as a current indication of a title's performance.

Publication timeline

Time to first decision

Time to first decision , expressed in days, the "first decision" occurs when the journal’s editorial team reviews the peer reviewers’ comments and recommendations. Based on this feedback, they decide whether to accept, reject, or request revisions for the manuscript.

Data is taken from submissions between 1st June 2023 and 31st May 2024

Acceptance to publication

Acceptance to publication , expressed in days, is the average time between when the journal’s editorial team decide whether to accept, reject, or request revisions for the manuscript and the date of publication in the journal. 

Data is taken from the previous 12 months (Last updated July 2024)

Acceptance rate

The acceptance rate is a measurement of how many manuscripts a journal accepts for publication compared to the total number of manuscripts submitted expressed as a percentage %

Data is taken from submissions between 1st June 2023 and 31st May 2024 .

This figure is the total amount of downloads for all articles published early cite in the last 12 months

(Last updated: July 2024)

This journal is abstracted and indexed by

• British Library
• Directory of Open Access Journals (DOAJ) 
• EBSCO - Business Source Ultimate Database
• EBSCO - Business Source Complete Database
• EBSCO Discovery Service
• Google Scholar
• Korea Citation Index (KCI)
• ProQuest One Business
• Business Premium Collection (ProQuest)
• ABI/INFORM Collection (ProQuest)
• ABI/INFORM Global (ProQuest)
• ProQuest Central
• ProQuest Central Essentials
• ProQuest Central Student
• ProQuest Central Basic (Korea)
• Publicly Available Content Database (ProQuest)
• Summons (ProQuest)

Reviewer information

Peer review process.

This journal engages in a double-anonymous peer review process, which strives to match the expertise of a reviewer with the submitted manuscript. Reviews are completed with evidence of thoughtful engagement with the manuscript, provide constructive feedback, and add value to the overall knowledge and information presented in the manuscript.

The mission of the peer review process is to achieve excellence and rigour in scholarly publications and research.

Our vision is to give voice to professionals in the subject area who contribute unique and diverse scholarly perspectives to the field.

The journal values diverse perspectives from the field and reviewers who provide critical, constructive, and respectful feedback to authors. Reviewers come from a variety of organizations, careers, and backgrounds from around the world.

All invitations to review, abstracts, manuscripts, and reviews should be kept confidential. Reviewers must not share their review or information about the review process with anyone without the agreement of the editors and authors involved, even after publication. This also applies to other reviewers’ “comments to author” which are shared with you on decision.

Resources to guide you through the review process

Discover practical tips and guidance on all aspects of peer review in our reviewers' section. See how being a reviewer could benefit your career, and discover what's involved in shaping a review.

More reviewer information

2022 APAD Conference

Conference of Asia-Pacific Association of Derivatives (APAD) is an academic annual conference hosted by Korea Derivatives Association (KDA) since 2004, to serve scholars, students, managers, and consultan...

KDA 2021 Best Paper and Best Referee Award

We are pleased to announce our 2021 Best Paper and Best Referee Award winners, selected by Korea Derivatives Association (KDA)...

Journal of Derivatives and Quantitative Studies: 선물연구 (JDQS) is a peer-reviewed, fully open access journal on derivatives and quantitative finance across developed and emerging markets. JDQS is published in association with Korea Derivatives Association (KDA). JDQS publishes new issues four times per year, and there is no charge to the author.

Aims and scope

When submitting a manuscript, authors will be taken to a service called  Paperpal Preflight , an AI-driven tool that checks manuscripts against the journal's author guidelines. Authors are free to use or bypass this step and submit directly to ScholarOne .

Journal of Derivatives and Quantitative Studies (JDQS) is the official publication of the Korea Derivatives Association (KDA) and publishes both empirical and theoretical research articles ranging from major research fields in financial derivatives to broader topics in quantitative finance. The aim of the  Journal of Derivatives and Quantitative Studies  is to provide a forum in which leading researchers present timely and important topics related to pricing and/or risk management of various financial derivatives as well as financial assets in general. The Journal's purpose is not only to share important scholarly results across finance academics and practitioners, but also to extend communications to policymakers and general audience. The Journal mainly focuses on pure or applied theoretical works with testable implications and empirical or policy research papers that are based on the solid economic backgrounds and motivations.

Started from 1993, the Journal of Derivatives and Quantitative Studies is one of the oldest and most widely-recognized financial derivatives related journals in the Asia-pacific region. Given the large size of the Korean derivatives market in the Asia-pacific region and the fast-growing amount of research works using the derivatives market in Korea as well as the Asia-pacific region, the editorial board of the Journal consists of a large number of experts in the derivatives market in Korea as well as in the Asia-pacific region as a whole.

The Journal publishes articles with specific topics that include but are not limited to:

• Futures and Options
• Exotic Derivatives
• Credit Default Swaps
• Equity Linked Securities
• Stock Options
• Structured Products
• Pricing and Hedging of Financial Assets
• Risk Management and Control
• Financial Engineering
• New Financial Instruments
• FinTech; Hedging Strategies
• Analysis of Trading Systems
• Fixed Income and Structured Finance
• Asset Pricing; Corporate Finance
• Portfolio Management/Multi-Asset Allocation
• Quantitative Analysis in Finance
• Real Assets/Alternative Investments/Private Equity
• Long-term/Retirement Investing
• Performance Measurement
• Legal/Regulatory/Public Policy
• I nternational Investing
• Mutual Funds/Passive Investing/Indexing

Journal of Derivatives and Quantitative Studies (JDQS) has been published in partnership with Emerald Publishing since Spring 2020 (Issue 2 of 2020). Full articles before the 2020 Issue 2 can be accessed/downloaded here .  

JDQS   is published by Emerald Publishing on behalf of Korea Derivatives Association.  JDQS  is published under a platinum OA arrangement, in that all charges for publishing an OA article in the Journal are funded by Korea Derivatives Association. Therefore, there is no charge to the author.

Latest articles

These are the latest articles published in this journal (Last updated: July 2024 )

Word-of-mouth effects in individual investors' trading: evidence from Korea

Informational role of investment and liquidation values, renegotiable debt, liquidity injections and financial instability, top downloaded articles.

These are the most downloaded articles over the last 12 months for this journal (Last updated: July 2024 )

The relationship between changes in corporate payout policy and capital structure

Do competent managers increase labor productivity evidence from korea, do technical trading rules outperform the simple buy-andhold strategy in the cryptocurrency market.

These are the top cited articles for this journal, from the last 12 months according to Crossref (Last updated: July 2024 )

Retail investors and overpricing of left-tail risk: evidence from the Korean stock market

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Transparency statement

Transparency statement for journal of derivatives and quantitative studies: 선물연구.

Journal Ownership: Journal of Derivatives and Quantitative Studies is published by Emerald Publishing on behalf of Korea Derivatives Association.

Governing Body: The editorial team is appointed and managed by the Korea Derivatives Association. The journal is governed by the editorial team in collaboration with Emerald Publishing.

Peer Review Process: The journal operates a double-blind peer review model. All articles undergo an initial assessment by the journal editor. If they are considered suitable for consideration, articles will then be reviewed by a minimum of two external reviewers to assess suitability for publication. Final responsibility for editorial decisions rests with the Editor-in-Chief of the journal.

Editorial team/contact information: Contact details for the editorial team can be found on the journal homepage. Queries may also be directed to Emerald’s Publishing team as follows: Judy Yeh –  [email protected]

Copyright: All articles in the journal are published Open Access under a Creative Commons Attribution license (CC BY-4.0). This allows authors to retain copyright of their work whilst others can share, use and build upon this work created as long as appropriate attribution is given.

Author Fees: The journal is published under a Platinum Open Access arrangement, in that all costs associated with publishing an Open Access article in the journal are funded by the Korea Derivatives Association. There are currently no Article Processing Charges to the author(s).

Allegations of Misconduct: All journals published by Emerald are members of and subscribe to the principles of the  Committee on Publication Ethics . In the event of any allegation of research or publication misconduct the publisher and editor will adhere to COPE guidelines in dealing with such allegations.

Conflicts of interest: Authors are asked to declare any financial or ethical conflicts of interest upon submitting their work to the journal. Difficult cases will be referred to the Committee on Publishing Ethics (COPE) for advice.

Frequency: The journal currently publishes four issues per annum.

Access: All journal articles are published Open Access on EmeraldInsight.com -  http://www.emeraldinsight.com/loi/jdqs  under a CCBY 4.0 licence (please see section 5).

Revenue sources: The journal is published under a platinum Open Access arrangement, in that all costs associated with publishing an Open Access article in the journal are funded by the Korea Derivatives Association.

Advertising: The journal does not accept direct advertising.

Archiving: Emerald provides perpetual access for all e-journal content by working with digital preservation schemes Portico, LOCKSS and CLOCKSS.

Direct marketing: On occasion the journal will use direct marketing activities (primarily email campaigns) to raise awareness of the journal and to invite authors to submit articles. Marketing activities are conducted by the Korea Derivatives Association unless otherwise agreed with Emerald.

This statement was updated by Judy Yeh (Emerald Publishing) on 16th Feb 2020.

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Contact Us Click Here

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Volume 5 Issue 7 July-2018 eISSN: 2349-5162

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Deep Learning for Derivatives Pricing: A Comparative Study of Asymptotic and Quasi-process Corrections

Annals of Operations Research, 0 [10.1007/s10479-024-06114-1]

38 Pages Posted: 28 Aug 2023

Hideharu Funahashi

Kanagawa University; Kanagawa University

Date Written: August 27, 2023

In this study, we propose and compare two methods for efficiently learning the price of derivatives in using neural networks. The first method involves learning the difference between the price of derivatives and its asymptotic expansion, rather than directly learning the price of derivatives within the neural networks. The target derivative price is then obtained by adding the approximate solution with the predicted value of neural networks. It reduces the required amount of learning data, often by a factor of one hundred to one thousand, compared to the case where the derivative price is directly learned through neural networks. The second method is to learn the difference between the price of derivatives written on the underlying asset price that follows the target complex stochastic process and the price of derivatives written on the underlying asset price that has a relatively simple stochastic process that has a closed-form solution for the target derivatives prices. This method provides an alternative valuation method when no efficient approximate solution for the derivative value is observed and if one can arbitrarily determine the model parameters of the quasi-process that approximates the original process. We also propose a unified method to determine the model parameters of quasi-processes from underlying asset processes. These methods prove valuable in cases where general analytic solutions are absent, as seen in widely used financial models such as the stochastic volatility models. These cases involve time-consuming numerical calculations to generate learning data; hence, our proposed approaches aid in significantly compressing calculation times.

Keywords: Artificial neural network, derivatives, local and stochastic volatility model, asymptotic expansion, Monte Carlo simulation, stochastic differential equation

JEL Classification: G12, G13, G17

Suggested Citation: Suggested Citation

Hideharu Funahashi (Contact Author)

Kanagawa university ( email ).

Kanagawa-ku, Yokohama City 221-8686 JAPAN

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Enhancing sustainability through weather derivative option contracts: a risk management tool in greek agriculture.

1. Introduction

2. materials and methods, 2.1. pricing weather derivatives, 2.2. design of different option strategies, 2.3. value at risk (var) methodology.

• μ is the mean (average) value the total market value of tree crops for all winter periods.
• σ is the standard deviation of total market value of tree crops for all winter periods.
• Ζα is the Z-value corresponding to the confidence level (95%).
• VaRα represents the value at risk at the α confidence level, which represents the maximum expected loss.

2.4. Study Area and Temperature Data

3.1. basis statistical characteristics of hdd index and the graph of index development, 3.2. analysis of hdd options strategies, 3.3. hedging effectiveness, 4. discussion, 5. conclusions, author contributions, data availability statement, conflicts of interest.

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Prentzas, A.; Bournaris, T.; Nastis, S.; Moulogianni, C.; Vlontzos, G. Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture. Sustainability 2024 , 16 , 7372. https://doi.org/10.3390/su16177372

Prentzas A, Bournaris T, Nastis S, Moulogianni C, Vlontzos G. Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture. Sustainability . 2024; 16(17):7372. https://doi.org/10.3390/su16177372

Prentzas, Angelos, Thomas Bournaris, Stefanos Nastis, Christina Moulogianni, and George Vlontzos. 2024. "Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture" Sustainability 16, no. 17: 7372. https://doi.org/10.3390/su16177372

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A STUDY ON FINANCIAL DERIVATIVES WITH REFERENCE TO TATA MOTORS LIMITED, CHITTOOR DISTRICT OF AP, INDIA

• Sri Venkateswara College of Engineering, Tirupati

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