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

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

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

Patrick Büchel, Michael Kratochwil and Daniel Rösch

Option-implied information: What’s the vol surface got to do with it? pp. 323-355

Maxim Ulrich and Simon Walther

Volume 23, issue 2, 2020

The global minimum variance hedge pp. 121-144

Wan-Yi Chiu

A generalization of option pricing to price-limit markets pp. 145-161

Jia-Hau Guo and Lung-Fu Chang

Approaching rainfall-based weather derivatives pricing and operational challenges pp. 163-190

Andrea Martínez Salgueiro and Maria-Antonia Tarrazon-Rodon

Yield curves from different bond data sets pp. 191-226

Antonio Díaz, Francisco Jareño and Eliseo Navarro

Volume 23, issue 1, 2020

Towards a $$\Delta $$Δ-Gamma Sato multivariate model pp. 1-39

Lynn Boen and Florence Guillaume

Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints pp. 41-61

Ana M. Monteiro and Antonio A. F. Santos

Valuing American-style options under the CEV model: an integral representation based method pp. 63-83

Aricson Cruz and José Carlos Dias

Time consistent pricing of options with embedded decisions pp. 85-119

G. Dorfleitner and J. Gerer

Volume 22, issue 3, 2019

Implied risk aversion: an alternative rating system for retail structured products pp. 357-387

H. Fink, S. Geissel, J. Sass and F. T. Seifried

Empirical performance of reduced-form models for emission permit prices pp. 389-418

Steffen Hitzemann and Marliese Uhrig-Homburg

Valuation of an option using non-parametric methods pp. 419-447

Shu Ling Chiang and Ming Shann Tsai

Option-implied Value-at-Risk and the cross-section of stock returns pp. 449-474

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

Benjamin Hippert, Andre Uhde and Sascha Tobias Wengerek

Dissecting the tracking performance of regular and leveraged VIX ETPs pp. 261-327

Hongfei Tang and Xiaoqing Eleanor Xu

Pricing cross-currency interest rate swaps under the Levy market model pp. 329-355

Ming-Chieh Wang and Li-Jhang Huang

Volume 22, issue 1, 2019

A general closed form option pricing formula pp. 1-40

Ciprian Necula, Gabriel Drimus and Walter Farkas

Pricing VIX derivatives with free stochastic volatility model pp. 41-75

Wei Lin, Shenghong Li, Shane Chern and Jin E. Zhang

Pricing and risk of swing contracts in natural gas markets pp. 77-167

Hendrik Kohrs, Hermann Mühlichen, Benjamin R. Auer and Frank Schuhmacher

Is trading in the shortest-term index options profitable? pp. 169-201

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

Horatio Cuesdeanu and Jens Carsten Jackwerth

GARCH option pricing models with Meixner innovations pp. 277-305

Matthias Fengler and Alexander Melnikov

Dynamic hedging with futures: a copula-based GARCH model with high-frequency data pp. 307-329

Yu-Sheng Lai

An empirical investigation of large trader market manipulation in derivatives markets pp. 331-374

Robert Jarrow, Scott Fung and Shih-Chuan Tsai

Volume 21, issue 2, 2018

Risk-adjusted option-implied moments pp. 149-173

Felix Brinkmann and Olaf Korn

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions pp. 175-199

Johannes Gerer and Gregor Dorfleitner

The volatility target effect in structured investment products with capital protection pp. 201-229

Sergio Albeverio, Victoria Steblovskaya and Kai Wallbaum

Pricing exotic options in a regime switching economy: a Fourier transform method pp. 231-252

Peter Hieber

Volume 21, issue 1, 2018

A multivariate stochastic volatility model with applications in the foreign exchange market pp. 1-43

Marcos Escobar Anel and Christoph Gschnaidtner

Did crisis alter trading of two major oil futures markets? pp. 45-61

Iman Adeinat, Naseem Al Rahahleh and Peihwang Wei

The determinants of CDS spreads: evidence from the model space pp. 63-118

Matthias Pelster and Johannes Vilsmeier

Tempered stable structural model in pricing credit spread and credit default swap pp. 119-148

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

Hideharu Funahashi and Masaaki Kijima

Profitability patterns in the interest rate derivatives market pp. 231-254

Ralf Meyer

Pricing double barrier options under a volatility regime-switching model with psychological barriers pp. 255-280

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

Antje Mahayni and Matthias Muck

Volume 20, issue 2, 2017

Rainbow trend options: valuation and applications pp. 91-133

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

Max F. Schöne and Stefan Spinler

Implied volatility and skewness surface pp. 167-202

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

Dirk Veestraeten

Structural default model with mutual obligations pp. 15-46

Andrey Itkin and Alexander Lipton

A bias in the volatility smile pp. 47-90

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

Marcos Escobar Anel, Daniel Krause and Rudi Zagst

On exact pricing of FX options in multivariate time-changed Lévy models pp. 201-216

Roman V. Ivanov and Katsunori Ano

Volume 19, issue 2, 2016

Minimum return guarantees, investment caps, and investment flexibility pp. 85-111

Antje Mahayni and Judith C. Schneider

Migrate or not? The effects of regulation SHO on options trading activities pp. 113-146

Yubin Li, Chen Zhao and Zhaodong Zhong

Option pricing model with sentiment pp. 147-164

Chunpeng Yang, Bin Gao and Jianlei Yang