Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 29, issue 1, 2026

Derivatives use and credit risk in global banking industry: Does bank specialization matter? pp. 1-32

Sheng-Hung Chen, Kieu-Thi Phan, Thi Phuong Chi Nguyen and Ca- Van Pham

Calibrated predictive regions for static hedging of piecewise-affine claims with option portfolios pp. 1-32

Nikolaos Halidias

Does managerial ability affect financial derivatives usage? Evidence from China pp. 1-41

Kun Su, Miaomiao Zhang, Chengyun Liu, Tairan Kevin Huang and Yunhe Dong

Financial derivatives usage and stock price crash risk: evidence from the Chinese emerging market pp. 1-52

Miaomiao Zhang, Kun Su, Chengyun Liu and Senliulu Fu

Inside the mind of retail short sellers pp. 1-49

Nina Klocke and Matthias Pelster

Multivariate Gauss-Hermite expansions and applications to option pricing pp. 1-49

Xingchun Wang and Xuewen Zhao

Option-pricing formulas with skewness and kurtosis pp. 1-23

Pakorn Aschakulporn and Jin E. Zhang

Correction: How do option contract sizes affect investor composition and market quality? pp. 1-2

Jaeram Lee, Doojin Ryu and Robert Webb

Stablecoins under global stress tests: evidence across four reserve designs pp. 1-40

Chiraz Karamti and Wafa Bouabid

The Greeks of the Bakshi–Madan formula pp. 1-40

Ruizi Hu, Jin E. Zhang and Pakorn Aschakulporn

An integrated optimisation model for pricing and hedging oil derivatives pp. 1-33

Teemu Pennanen and Luciane Sbaraini Bonatto

How do option contract sizes affect investor composition and market quality? pp. 1-33

Jaeram Lee, Doojin Ryu and Robert Webb

Collared takeover exchange options with ratio barriers: practical extensions of the Haug–Haug knock-in/out Margrabe formula pp. 1-22

Espen Gaarder Haug

Dynamic co-movement and pricing dominance in global copper futures markets: evidence from emerging and developed exchanges pp. 1-22

Yang Zhu and Xinchao Yao

Predicting option prices from their price history via machine learning pp. 1-38

Simon Fritzsch, Felix Irresberger and Gregor Weiß

A Heston model with jumps and stochastic liquidity risk in European option pricing pp. 1-24

Parsa Yahyavi and Navideh Modarresi

Selective forgetting in option calibration: an operator-theoretic Gauss–Newton framework pp. 1-27

Ahmet Umur Özsoy

Commodity financialization and electronification: evidence from high-frequency data pp. 1-29

Tobias Lauter, Marcel Prokopczuk and Stefan Trück

Anomalies and optionability pp. 1-29

Julian Böll, Julian Thimme and Marliese Uhrig-Homburg

Valuation of cross-inverse cryptocurrency options with multi-scale stochastic volatility and correlation dynamics pp. 1-29

Angelo E. Marasigan

Correction: An integrated optimisation model for pricing and hedging oil derivatives pp. 1-1

Teemu Pennanen and Luciane Sbaraini Bonatto

Valuing vulnerable Asian options under contagion dynamics pp. 1-26

Zelei Li, Xingchun Wang, Yiming Wang and Mengjie Zhao

Option pricing under regime-switching jump-diffusion dynamics with transaction costs: a neural SDE approach pp. 1-70

Mohd Raagib Shakeel, Satyam Yadav and Musheer Ahmad

Beyond pure hype: news sentiment and its role in the BTC and ETH futures market pp. 1-36

Christian Kreuzer, Christian Sparrer and Gregor Dorfleitner

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions pp. 1-36

Andrey Itkin

The systemic footprint: revisiting risk mitigation in long/short and 60/40 portfolios through network connectedness pp. 1-31

Spyros Papathanasiou, Anastasios Magoutas and Drosos Koutsokostas

Stress-consistent macroprudential overlay for derivative pricing pp. 1-31

Keorapetse Leballo and Jules Clement Mba

The role of China’s edible oil and oil-seed futures in world related futures market: a look at the impact of extreme shocks pp. 1-30

Xiaoyi Zhang, Tamat Sarmidi, Yongxu Chai, Abdul Hafiz Mohd Azam and Muhammad Faliq Abd Razak

Pricing of geometric Asian power barrier options pp. 1-28

Hyungkuk Yoon, Bara Kim, Jeongsim Kim and Jerim Kim

Volume 28, issue 3, 2025

Swing option-implied volatility pp. 1-44

Hendrik Kohrs, Hermann Mühlichen and Benjamin R. Auer

Stochastic volatility for factor Heath–Jarrow–Morton framework pp. 1-57

Artur Sepp and Parviz Rakhmonov

Digital assets, bubbles, and derivative prices pp. 1-16

Robert Jarrow

Effect of multiple index derivative expiry on volatility, volume, and connectedness: a tale of two stock indices in India pp. 1-16

Bhaskar Chhimwal, Vikas Pandey and Piyush Pandey

Corporate full-scale hedging and pricing of high-risk growth investment option pp. 1-42

Ons Triki and Fathi Abid

Volume 28, issue 2, 2025

A general machine learning framework of real-time evaluation for financial derivatives portfolios pp. 1-21

Liangliang Zhang, Ruyan Tian, Qing Yang and Tingting Ye

Not on the same page: comprehensibility of MBS investment prospectuses pp. 1-37

Martin Hibbeln, Ralf Metzler and Werner Osterkamp

Time-varying predictability of TAIEX volatility pp. 1-28

Ging-Ginq Pan, Yung-Ming Shiu and Tu-Cheng Wu

Analytical valuation of a general form of barrier option with stochastic interest rate and jumps pp. 1-44

Tristan Guillaume

Volume 28, issue 1, 2025

Valuation of vulnerable options using a bivariate Gram–Charlier approximation pp. 1-30

Dingding Dong, Xinyue Ou and Xingchun Wang

Pricing of geometric Asian options in the Volterra-Heston model pp. 1-30

Florian Aichinger and Sascha Desmettre

Financial decision making under optimal control and Markov switching double exponential jump process pp. 1-34

Ons Triki and Fathi Abid

VIX maturity interpolation pp. 1-40

Torben Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez

The impact of risk retention on the pricing of securitizations pp. 1-24

Martin Hibbeln and Werner Osterkamp

Volume 27, issue 3, 2024

The interaction between equity-based compensation and debt in managerial risk choices pp. 227-258

Carlos Miguel Glória, José Carlos Dias, João Pedro Ruas and João Pedro Vidal Nunes

Pricing and hedging autocallable products by Markov chain approximation pp. 259-303

Yeda Cui, Lingfei Li and Gongqiu Zhang

Volume 27, issue 2, 2024

Simple is simply not enough—features versus labels of complex financial securities pp. 113-150

Martin Hibbeln and Werner Osterkamp

An affine model for short rates when monetary policy is path dependent pp. 151-201

Haitham A. Al-Zoubi

A two-factor structural model for valuing corporate securities pp. 203-225

Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif and Bruno Rémillard

Volume 27, issue 1, 2024

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle pp. 1-35

Maik Dierkes, Jan Krupski, Sebastian Schroen and Philipp Sibbertsen

Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility pp. 37-53

Yuecai Han and Fengtong Zhang

Pricing levered warrants under the CEV diffusion model pp. 55-84

Carlos Miguel Glória, José Carlos Dias and Aricson Cruz

Martingale defects in the volatility surface and bubble conditions in the underlying pp. 85-111

Philip Stahl and Jérôme Blauth