Review of Derivatives Research
1999 - 2020
Current editor(s): Gurdip Bakshi and Dilip Madan From Springer Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing (). Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.
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
| |