Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 25, issue 3, 2022

Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach pp. 233-281

Pakorn Aschakulporn and Jin E. Zhang

CMS spread options in quadratic Gaussian model pp. 283-291

Parviz Rakhmonov and Firuz Rakhmonov

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities pp. 293-314

Matthias Muck

Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index pp. 315-339

Philip Stahl

Volume 25, issue 2, 2022

Deep calibration of financial models: turning theory into practice pp. 109-136

Patrick Büchel, Michael Kratochwil, Maximilian Nagl and Daniel Rösch

The impact of non-cash collateralization on the over-the-counter derivatives markets pp. 137-171

Kazuhiro Takino

Oil futures volatility smiles in 2020: Why the bachelier smile is flatter pp. 173-187

Roza Galeeva and Ehud Ronn

A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation pp. 189-232

Jie Chen, Liaoyuan Fan, Lingfei Li and Gongqiu Zhang

Volume 25, issue 1, 2022

Valuing fade-in options with default risk in Heston–Nandi GARCH models pp. 1-22

Xingchun Wang

Optimal exercise of American put options near maturity: A new economic perspective pp. 23-46

Anna Battauz, Marzia De Donno, Janusz Gajda and Alessandro Sbuelz

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods pp. 47-91

Zonggang Ma, Chaoqun Ma and Zhijian Wu

Economic policy uncertainty and volatility of treasury futures pp. 93-107

Maojun Zhang, Yang Zhao and Jiangxia Nan

Volume 24, issue 3, 2021

Idiosyncratic volatility, option-based measures of informed trading, and investor attention pp. 197-220

Hannes Mohrschladt and Judith C. Schneider

Mean-variance hedging in the presence of estimation risk pp. 221-241

Wan-Yi Chiu

Pricing vulnerable options with jump risk and liquidity risk pp. 243-260

Xingchun Wang

Does model complexity improve pricing accuracy? The case of CoCos pp. 261-284

Christian Koziol and Sebastian Weitz

Volume 24, issue 2, 2021

The impact of the leverage effect on the implied volatility smile: evidence for the German option market pp. 95-133

A. W. Rathgeber, J. Stadler and S. Stöckl

A model-free approach to multivariate option pricing pp. 135-155

Carole Bernard, Oleg Bondarenko and Steven Vanduffel

Bayesian estimation of the stochastic volatility model with double exponential jumps pp. 157-172

Jinzhi Li

The value of power-related options under spectrally negative Lévy processes pp. 173-196

Jean-Philippe Aguilar

Volume 24, issue 1, 2021

Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes pp. 1-30

Gechun Liang and Xingchun Wang

Bermudan option in Singapore Savings Bonds pp. 31-54

Kian Guan Lim

Diversification with options and structured products pp. 55-77

Shuonan Yuan and Marc Oliver Rieger

Uncertain strike lookback options pricing with floating interest rate pp. 79-94

Lidong Zhang, Yanmei Sun, Ziping Du and Xiangbo Meng

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, André 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