Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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Implied volatility surfaces: a comprehensive analysis using half a billion option prices pp. 135-169: Maxim Ulrich, Lukas Zimmer and Constantin Merbecks
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model pp. 171-206: Frédéric Godin, Ramin Eghbalzadeh and Patrice Gaillardetz

Interest rate swaps: a comparison of compounded daily versus discrete reference rates pp. 1-21: Robert Jarrow and Siguang Li
Pricing vulnerable basket spread options with liquidity risk pp. 23-50: Ziming Dong, Dan Tang and Xingchun Wang
Continuity correction: on the pricing of discrete double barrier options pp. 51-90: Sheng-Feng Luo and Hsin-Chieh Wong
Hedging cryptocurrency options pp. 91-133: Jovanka Matic, Natalie Packham and Wolfgang Karl Härdle

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

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

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

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

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

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

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

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

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

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