Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

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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

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

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

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

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

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

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

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

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

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

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

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

Pricing distressed CDOs with stochastic recovery pp. 219-244: Stephan Höcht and Rudi Zagst
A comparison of single factor Markov-functional and multi factor market models pp. 245-272: Raoul Pietersz and Antoon Pelsser
The cost of operational risk loss insurance pp. 273-295: Robert Jarrow, Jeff Oxman and Yildiray Yildirim
Equilibrium preference free pricing of derivatives under the generalized beta distributions pp. 297-332: Masayuki Ikeda

An empirical analysis of alternative recovery risk models and implied recovery rates pp. 101-124: Frank Zhang
A forward started jump-diffusion model and pricing of cliquet style exotics pp. 125-140: Gabriel Drimus
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case pp. 141-176: Andrey Itkin and Peter Carr
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes pp. 177-217: Minqiang Li

A fast Fourier transform technique for pricing American options under stochastic volatility pp. 1-24: Oleksandr Zhylyevskyy
Convenience yields pp. 25-43: Robert Jarrow
Exchange option pricing under stochastic volatility: a correlation expansion pp. 45-73: F. Antonelli, Alessandro Ramponi and S. Scarlatti
Analytical approximations for the critical stock prices of American options: a performance comparison pp. 75-99: Minqiang Li