Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

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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

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

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

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

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

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

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

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

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 Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy

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

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

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

The valuation and information content of options on crude-oil futures contracts pp. 95-106: 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: Andreas Rathgeber, David Rudolph and Stefan Stöckl
The valuation of forward-start rainbow options pp. 145-188: Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang
Erratum to: The valuation of forward-start rainbow options pp. 189-189: Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang

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