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Review of Derivatives Research

1999 - 2020

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 23, issue 3, 2020

Portfolio construction using bootstrapping neural networks: evidence from global stock market pp. 227-247 Downloads
Hsiao-Fen Hsiao, Jiang-Chuan Huang and Zheng-Wei Lin
A note on options and bubbles under the CEV model: implications for pricing and hedging pp. 249-272 Downloads
José Carlos Dias, João Pedro Vidal Nunes and Aricson Cruz
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach pp. 273-322 Downloads
Patrick Büchel, Michael Kratochwil and Daniel Rösch
Option-implied information: What’s the vol surface got to do with it? pp. 323-355 Downloads
Maxim Ulrich and Simon Walther

Volume 23, issue 2, 2020

The global minimum variance hedge pp. 121-144 Downloads
Wan-Yi Chiu
A generalization of option pricing to price-limit markets pp. 145-161 Downloads
Jia-Hau Guo and Lung-Fu Chang
Approaching rainfall-based weather derivatives pricing and operational challenges pp. 163-190 Downloads
Andrea Martínez Salgueiro and Maria-Antonia Tarrazon-Rodon
Yield curves from different bond data sets pp. 191-226 Downloads
Antonio Díaz, Francisco Jareño and Eliseo Navarro

Volume 23, issue 1, 2020

Towards a $$\Delta $$Δ-Gamma Sato multivariate model pp. 1-39 Downloads
Lynn Boen and Florence Guillaume
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints pp. 41-61 Downloads
Ana M. Monteiro and Antonio A. F. Santos
Valuing American-style options under the CEV model: an integral representation based method pp. 63-83 Downloads
Aricson Cruz and José Carlos Dias
Time consistent pricing of options with embedded decisions pp. 85-119 Downloads
G. Dorfleitner and J. Gerer

Volume 22, issue 3, 2019

Implied risk aversion: an alternative rating system for retail structured products pp. 357-387 Downloads
H. Fink, S. Geissel, J. Sass and F. T. Seifried
Empirical performance of reduced-form models for emission permit prices pp. 389-418 Downloads
Steffen Hitzemann and Marliese Uhrig-Homburg
Valuation of an option using non-parametric methods pp. 419-447 Downloads
Shu Ling Chiang and Ming Shann Tsai
Option-implied Value-at-Risk and the cross-section of stock returns pp. 449-474 Downloads
Manuel Ammann and Alexander Feser

Volume 22, issue 2, 2019

Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe pp. 203-259 Downloads
Benjamin Hippert, Andre Uhde and Sascha Tobias Wengerek
Dissecting the tracking performance of regular and leveraged VIX ETPs pp. 261-327 Downloads
Hongfei Tang and Xiaoqing Eleanor Xu
Pricing cross-currency interest rate swaps under the Levy market model pp. 329-355 Downloads
Ming-Chieh Wang and Li-Jhang Huang

Volume 22, issue 1, 2019

A general closed form option pricing formula pp. 1-40 Downloads
Ciprian Necula, Gabriel Drimus and Walter Farkas
Pricing VIX derivatives with free stochastic volatility model pp. 41-75 Downloads
Wei Lin, Shenghong Li, Shane Chern and Jin E. Zhang
Pricing and risk of swing contracts in natural gas markets pp. 77-167 Downloads
Hendrik Kohrs, Hermann Mühlichen, Benjamin R. Auer and Frank Schuhmacher
Is trading in the shortest-term index options profitable? pp. 169-201 Downloads
Ging-Ginq Pan, Yung-Ming Shiu and Tu-Cheng Wu

Volume 21, issue 3, 2018

The pricing kernel puzzle in forward looking data pp. 253-276 Downloads
Horatio Cuesdeanu and Jens Carsten Jackwerth
GARCH option pricing models with Meixner innovations pp. 277-305 Downloads
Matthias Fengler and Alexander Melnikov
Dynamic hedging with futures: a copula-based GARCH model with high-frequency data pp. 307-329 Downloads
Yu-Sheng Lai
An empirical investigation of large trader market manipulation in derivatives markets pp. 331-374 Downloads
Robert Jarrow, Scott Fung and Shih-Chuan Tsai

Volume 21, issue 2, 2018

Risk-adjusted option-implied moments pp. 149-173 Downloads
Felix Brinkmann and Olaf Korn
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions pp. 175-199 Downloads
Johannes Gerer and Gregor Dorfleitner
The volatility target effect in structured investment products with capital protection pp. 201-229 Downloads
Sergio Albeverio, Victoria Steblovskaya and Kai Wallbaum
Pricing exotic options in a regime switching economy: a Fourier transform method pp. 231-252 Downloads
Peter Hieber

Volume 21, issue 1, 2018

A multivariate stochastic volatility model with applications in the foreign exchange market pp. 1-43 Downloads
Marcos Escobar Anel and Christoph Gschnaidtner
Did crisis alter trading of two major oil futures markets? pp. 45-61 Downloads
Iman Adeinat, Naseem Al Rahahleh and Peihwang Wei
The determinants of CDS spreads: evidence from the model space pp. 63-118 Downloads
Matthias Pelster and Johannes Vilsmeier
Tempered stable structural model in pricing credit spread and credit default swap pp. 119-148 Downloads
Sung Ik Kim and Young Shin Kim

Volume 20, issue 3, 2017

A unified approach for the pricing of options relating to averages pp. 203-229 Downloads
Hideharu Funahashi and Masaaki Kijima
Profitability patterns in the interest rate derivatives market pp. 231-254 Downloads
Ralf Meyer
Pricing double barrier options under a volatility regime-switching model with psychological barriers pp. 255-280 Downloads
Shiyu Song and Yongjin Wang
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk pp. 281-308 Downloads
Antje Mahayni and Matthias Muck

Volume 20, issue 2, 2017

Rainbow trend options: valuation and applications pp. 91-133 Downloads
Jr-Yan Wang, Hsiao-Chuan Wang, Yi-Chen Ko and Mao-Wei Hung
A four-factor stochastic volatility model of commodity prices pp. 135-165 Downloads
Max F. Schöne and Stefan Spinler
Implied volatility and skewness surface pp. 167-202 Downloads
Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap

Volume 20, issue 1, 2017

On the multiplicity of option prices under CEV with positive elasticity of variance pp. 1-13 Downloads
Dirk Veestraeten
Structural default model with mutual obligations pp. 15-46 Downloads
Andrey Itkin and Alexander Lipton
A bias in the volatility smile pp. 47-90 Downloads
Don M. Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy

Volume 19, issue 3, 2016

Stochastic covariance and dimension reduction in the pricing of basket options pp. 165-200 Downloads
Marcos Escobar Anel, Daniel Krause and Rudi Zagst
On exact pricing of FX options in multivariate time-changed Lévy models pp. 201-216 Downloads
Roman V. Ivanov and Katsunori Ano

Volume 19, issue 2, 2016

Minimum return guarantees, investment caps, and investment flexibility pp. 85-111 Downloads
Antje Mahayni and Judith C. Schneider
Migrate or not? The effects of regulation SHO on options trading activities pp. 113-146 Downloads
Yubin Li, Chen Zhao and Zhaodong Zhong
Option pricing model with sentiment pp. 147-164 Downloads
Chunpeng Yang, Bin Gao and Jianlei Yang
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