Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 18, issue 3, 2015

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

Volume 18, issue 2, 2015

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

Volume 18, issue 1, 2015

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

Volume 17, issue 3, 2014

An overview of the valuation of collateralized derivative contracts pp. 261-286

Jean-Paul Laurent, Philippe Amzelek and Joe Bonnaud

The impact of quantitative easing on the US term structure of interest rates pp. 287-321

Robert Jarrow and Hao Li

The effects of corporate governance and accounting rule changes on derivatives usage pp. 323-353

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

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

Ron Chan and Simon Hubbert

Efficiently pricing double barrier derivatives in stochastic volatility models pp. 191-216

Marcos Escobar Anel, Peter Hieber and Matthias Scherer

The price discovery of day trading activities in futures market pp. 217-239

Ming-Hsien Chen and Vivian Tai

Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing pp. 241-259

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

Arndt Claußen, Sebastian Löhr and Daniel Rösch

Does modeling framework matter? A comparative study of structural and reduced-form models pp. 39-78

Yalin Gündüz and Marliese Uhrig-Homburg

Pricing average options under time-changed Lévy processes pp. 79-111

Akira Yamazaki

Path-dependent game options: a lookback case pp. 113-124

Peidong Guo, Qihong Chen, Xicai Guo and Yue Fang

Volume 16, issue 3, 2013

Capital adequacy rules, catastrophic firm failure, and systemic risk pp. 219-231

Robert Jarrow

Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices pp. 233-266

Costas Siriopoulos and Athanasios Fassas

Local volatility of volatility for the VIX market pp. 267-293

Gabriel Drimus and Walter Farkas

A lattice model for option pricing under GARCH-jump processes pp. 295-329

Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang and Ping-Da Wu

Volume 16, issue 2, 2013

New solvable stochastic volatility models for pricing volatility derivatives pp. 111-134

Andrey Itkin

The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques pp. 135-165

Susanne Griebsch

Valuation of American partial barrier options pp. 167-191

Doobae Jun and Hyejin Ku

How fair-value accounting can influence firm hedging pp. 193-217

Leif Beisland and Dennis Frestad

Volume 16, issue 1, 2013

The performance of model based option trading strategies pp. 1-23

Bjørn Eraker

The αVG model for multivariate asset pricing: calibration and extension pp. 25-52

Florence Guillaume

Parametric modeling of implied smile functions: a generalized SVI model pp. 53-77

Bo Zhao and Stewart Hodges

On the primal-dual algorithm for callable Bermudan options pp. 79-110

Maximilian Mair and Jan Maruhn

Volume 15, issue 3, 2012

The value of tradeability pp. 193-216

Marc Chesney and Alexander Kempf

Joint econometric modeling of spot electricity prices, forwards and options pp. 217-256

Alain Monfort and Olivier Féron

Liquidity and CDS premiums on European companies around the Subprime crisis pp. 257-281

Clothilde Lesplingart, Christophe Majois and Mikael Petitjean

Volume 15, issue 2, 2012

Unifying exotic option closed formulas pp. 99-128

Carlos Veiga, Uwe Wystup and Manuel Esquível

Equilibrium exercise of European warrants pp. 129-156

Nikunj Kapadia and Gregory Willette

Analytical pricing of American options pp. 157-192

Jun Cheng and Jin Zhang

Volume 15, issue 1, 2012

A call on art investments pp. 1-23

Roman Kraeussl and Christian Wiehenkamp

Delta-hedging correlation risk? pp. 25-56

Areski Cousin, Stéphane Crépey and Yu Kan

Calibration risk: Illustrating the impact of calibration risk under the Heston model pp. 57-79

Florence Guillaume and Wim Schoutens

Option pricing and hedging under a stochastic volatility Lévy process model pp. 81-97

Young Kim, Frank Fabozzi, Zuodong Lin and Svetlozar Rachev

Volume 14, issue 3, 2011

The β-variance gamma model pp. 263-282

Wim Schoutens and Geert Damme

American options and callable bonds under stochastic interest rates and endogenous bankruptcy pp. 283-332

João Nunes

A remark on static hedging of options written on the last exit time pp. 333-347

Yuri Imamura

A recombining lattice option pricing model that relaxes the assumption of lognormality pp. 349-367

Dasheng Ji and B Brorsen

Volume 14, issue 2, 2011

Guest editorial: Special issue on hedge funds pp. 115-116

Vikas Agarwal

The financial crisis and hedge fund returns pp. 117-135

Nicolas Bollen

The option CAPM and the performance of hedge funds pp. 137-167

Antonio Diez de los Rios and René Garcia

Corporate governance and hedge fund activism pp. 169-204

Nicole Boyson and Robert Mooradian

Manager fee contracts and managerial incentives pp. 205-239

Gong Zhan

The role of hedge funds as primary lenders pp. 241-261

Vikas Agarwal and Costanza Meneghetti

Volume 14, issue 1, 2011

Modelling default contagion using multivariate phase-type distributions pp. 1-36

Alexander Herbertsson

A binomial approximation for two-state Markovian HJM models pp. 37-65

Massimo Costabile, Ivar Massabó and Emilio Russo

Foreign currency bubbles pp. 67-83

Robert Jarrow and Philip Protter

Tractable hedging with additional hedge instruments pp. 85-114

Nicole Branger and Antje Mahayni