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Review of Derivatives Research

1999 - 2018

Current editor(s): Gurdip Bakshi and Dilip Madan

From Springer
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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 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-Sébastien 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
The leverage effect puzzle: the case of European sovereign credit default swap market pp. 217-235 Downloads
Agata Kliber

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

Volume 19, issue 1, 2016

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes pp. 1-39 Downloads
Lorenzo Torricelli
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options pp. 41-64 Downloads
Lie-Jane Kao
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? pp. 65-83 Downloads
Jacinto Marabel Romo

Volume 18, issue 3, 2015

Do correlated defaults matter for CDS premia? An empirical analysis pp. 191-224 Downloads
Christian Koziol, Philipp Koziol and Thomas Schön
Do CDS spreads move with commonality in liquidity? pp. 225-261 Downloads
Christian Meine, Hendrik Supper and Gregor Weiß
A copula-based approach for generating lattices pp. 263-289 Downloads
Tianyang Wang, James Dyer and Warren Hahn
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution pp. 291-300 Downloads
Luiz Vitiello and Ivonia Rebelo

Volume 18, issue 2, 2015

The valuation and information content of options on crude-oil futures contracts pp. 95-106 Downloads
Finbarr Murphy and Ehud Ronn
Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option pp. 107-143 Downloads
Andreas Rathgeber, David Rudolph and Stefan Stöckl
The valuation of forward-start rainbow options pp. 145-188 Downloads
Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang
Erratum to: The valuation of forward-start rainbow options pp. 189-189 Downloads
Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang

Volume 18, issue 1, 2015

Market making and risk management in options markets pp. 1-27 Downloads
Naomi Boyd
On pricing options with stressed-beta in a reduced form model pp. 29-50 Downloads
Geonwoo Kim, Hyuncheul Lim and Sungchul Lee
Are put-call ratios a substitute for short sales? pp. 51-73 Downloads
Benjamin Blau and Tyler Brough
Commodity derivative valuation under a factor model with time-varying market prices of risk pp. 75-93 Downloads
Andrés Mirantes, Javier Población and Gregorio Serna

Volume 17, issue 3, 2014

An overview of the valuation of collateralized derivative contracts pp. 261-286 Downloads
Jean-Paul Laurent, Philippe Amzelek and Joe Bonnaud
The impact of quantitative easing on the US term structure of interest rates pp. 287-321 Downloads
Robert Jarrow and Hao Li
The effects of corporate governance and accounting rule changes on derivatives usage pp. 323-353 Downloads
Ching-Lung Chen, Hung-Shu Fan and Ya-Ming Yang

Volume 17, issue 2, 2014

A closed-form solution for options with ambiguity about stochastic volatility pp. 125-159 Downloads
Gonçalo Faria and Joao Correia-da-Silva
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme pp. 161-189 Downloads
Ron Chan and Simon Hubbert
Efficiently pricing double barrier derivatives in stochastic volatility models pp. 191-216 Downloads
Marcos Escobar Anel, Peter Hieber and Matthias Scherer
The price discovery of day trading activities in futures market pp. 217-239 Downloads
Ming-Hsien Chen and Vivian Tai
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing pp. 241-259 Downloads
Luiz Vitiello and Ser-Huang Poon

Volume 17, issue 1, 2014

An analytical approach for systematic risk sensitivity of structured finance products pp. 1-37 Downloads
Arndt Claußen, Sebastian Löhr and Daniel Rösch
Does modeling framework matter? A comparative study of structural and reduced-form models pp. 39-78 Downloads
Yalin Gündüz and Marliese Uhrig-Homburg
Pricing average options under time-changed Lévy processes pp. 79-111 Downloads
Akira Yamazaki
Path-dependent game options: a lookback case pp. 113-124 Downloads
Peidong Guo, Qihong Chen, Xicai Guo and Yue Fang
Page updated 2018-12-18