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Review of Derivatives Research
1999 - 2013
Edited by Gurdip Bakshi and Dilip Madan
from Springer
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Volume 16, issue 1 , 2013
The performance of model based option trading strategies pp. 1-23 Bjørn Eraker The αVG model for multivariate asset pricing: calibration and extension pp. 25-52 Florence Guillaume Parametric modeling of implied smile functions: a generalized SVI model pp. 53-77 Bo Zhao and Stewart Hodges On the primal-dual algorithm for callable Bermudan options pp. 79-110 Maximilian Mair and Jan Maruhn Volume 15, issue 3 , 2012
The value of tradeability pp. 193-216 Marc Chesney and Alexander Kempf Joint econometric modeling of spot electricity prices, forwards and options pp. 217-256 Alain Monfort and Olivier Féron Liquidity and CDS premiums on European companies around the Subprime crisis pp. 257-281 Clothilde Lesplingart , Christophe Majois and Mikael Petitjean Volume 15, issue 2 , 2012
Unifying exotic option closed formulas pp. 99-128 Carlos Veiga , Uwe Wystup and Manuel Esquível Equilibrium exercise of European warrants pp. 129-156 Nikunj Kapadia and Gregory Willette Analytical pricing of American options pp. 157-192 Jun Cheng and Jin Zhang Volume 15, issue 1 , 2012
A call on art investments pp. 1-23 Roman Kraeussl and Christian Wiehenkamp Delta-hedging correlation risk? pp. 25-56 Areski Cousin , Stéphane Crépey and Yu Kan Calibration risk: Illustrating the impact of calibration risk under the Heston model pp. 57-79 Florence Guillaume and Wim Schoutens Option pricing and hedging under a stochastic volatility Lévy process model pp. 81-97 Young Kim , Frank J. Fabozzi , Zuodong Lin and Svetlozar Rachev Volume 14, issue 3 , 2011
The β-variance gamma model pp. 263-282 Wim Schoutens and Geert Damme American options and callable bonds under stochastic interest rates and endogenous bankruptcy pp. 283-332 João Nunes A remark on static hedging of options written on the last exit time pp. 333-347 Yuri Imamura A recombining lattice option pricing model that relaxes the assumption of lognormality pp. 349-367 Dasheng Ji and B Wade Brorsen Volume 14, issue 2 , 2011
Guest editorial: Special issue on hedge funds pp. 115-116 Vikas Agarwal The financial crisis and hedge fund returns pp. 117-135 Nicolas Bollen The option CAPM and the performance of hedge funds pp. 137-167 Antonio Diez de los Rios and René Garcia Corporate governance and hedge fund activism pp. 169-204 Nicole Boyson and Robert Mooradian Manager fee contracts and managerial incentives pp. 205-239 Gong Zhan The role of hedge funds as primary lenders pp. 241-261 Vikas Agarwal and Costanza Meneghetti Volume 14, issue 1 , 2011
Modelling default contagion using multivariate phase-type distributions pp. 1-36 Alexander Herbertsson A binomial approximation for two-state Markovian HJM models pp. 37-65 Massimo Costabile , Ivar Massabó and Emilio Russo Foreign currency bubbles pp. 67-83 Robert A Jarrow and Philip Protter Tractable hedging with additional hedge instruments pp. 85-114 Nicole Branger and Antje Mahayni Volume 13, issue 3 , 2010
Pricing distressed CDOs with stochastic recovery pp. 219-244 Stephan Höcht and Rudi Zagst A comparison of single factor Markov-functional and multi factor market models pp. 245-272 Raoul Pietersz and Antoon A. J. Pelsser The cost of operational risk loss insurance pp. 273-295 Robert A Jarrow , Jeff Oxman and Yildiray Yildirim Equilibrium preference free pricing of derivatives under the generalized beta distributions pp. 297-332 Masayuki Ikeda Volume 13, issue 2 , 2010
An empirical analysis of alternative recovery risk models and implied recovery rates pp. 101-124 Frank Zhang A forward started jump-diffusion model and pricing of cliquet style exotics pp. 125-140 Gabriel Drimus Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case pp. 141-176 Andrey Itkin and Peter Carr A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes pp. 177-217 Minqiang Li Volume 13, issue 1 , 2010
A fast Fourier transform technique for pricing American options under stochastic volatility pp. 1-24 Oleksandr Zhylyevskyy Convenience yields pp. 25-43 Robert A Jarrow Exchange option pricing under stochastic volatility: a correlation expansion pp. 45-73 F. Antonelli , A. Ramponi and S. Scarlatti Analytical approximations for the critical stock prices of American options: a performance comparison pp. 75-99 Minqiang Li Volume 12, issue 3 , 2009
Microstructural biases in empirical tests of option pricing models pp. 169-191 Patrick Dennis and Stewart Mayhew Auto-static for the people: risk-minimizing hedges of barrier options pp. 193-211 Johannes Siven and Rolf Poulsen A tale of two volatilities pp. 213-230 Dilip Madan Volume 12, issue 2 , 2009
A general framework for the derivation of asset price bounds: an application to stochastic volatility option models pp. 81-107 Oleg Bondarenko and Iñaki Longarela The smirk in the S&P500 futures options prices: a linearized factor analysis pp. 109-139 Andrew Carverhill , Terry Cheuk and Sigurd Dyrting Asset pricing under information with stochastic volatility pp. 141-167 Bertram Düring Volume 12, issue 1 , 2009
Preface pp. 1-2 Peter Bank and Aleš Černý Quadratic hedging in affine stochastic volatility models pp. 3-27 Jan Kallsen and Richard Vierthauer Dynamic programming and mean-variance hedging with partial execution risk pp. 29-53 Koichi Matsumoto Option market making under inventory risk pp. 55-79 Sasha Stoikov and Mehmet Sağlam
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