Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Microstructural biases in empirical tests of option pricing models pp. 169-191: Patrick Dennis and Stewart Mayhew
Auto-static for the people: risk-minimizing hedges of barrier options pp. 193-211: Johannes Siven and Rolf Poulsen
A tale of two volatilities pp. 213-230: Dilip Madan

A general framework for the derivation of asset price bounds: an application to stochastic volatility option models pp. 81-107: Oleg Bondarenko and Iñaki Longarela
The smirk in the S&P500 futures options prices: a linearized factor analysis pp. 109-139: Andrew Carverhill, Terry Cheuk and Sigurd Dyrting
Asset pricing under information with stochastic volatility pp. 141-167: Bertram Düring

Preface pp. 1-2: Peter Bank and Aleš Černý
Quadratic hedging in affine stochastic volatility models pp. 3-27: Jan Kallsen and Richard Vierthauer
Dynamic programming and mean-variance hedging with partial execution risk pp. 29-53: Koichi Matsumoto
Option market making under inventory risk pp. 55-79: Sasha Stoikov and Mehmet Sağlam

Distressed debt prices and recovery rate estimation pp. 171-204: Xin Guo, Robert Jarrow and Haizhi Lin
The cross-section of average delta-hedge option returns under stochastic volatility pp. 205-244: Alfredo Ibáñez
Leverage, options liabilities, and corporate bond pricing pp. 245-276: Henry Huang and Yildiray Yildirim

Making the best of best-of pp. 1-39: Tristan Guillaume
Stock options and managers’ incentives to cheat pp. 41-59: Marc Chesney and Rajna Gibson
Testing the martingale restriction for option implied densities pp. 61-81: Thomas Busch
Adaptive placement method on pricing arithmetic average options pp. 83-118: Tian-Shyr Dai, Jr-Yan Wang and Hui-Shan Wei
On improving the least squares Monte Carlo option valuation method pp. 119-151: Nelson Areal, Artur Rodrigues and Manuel Armada
Single name credit default swaptions meet single sided jump models pp. 153-169: Henrik Jönsson and Wim Schoutens

A model of discontinuous interest rate behavior, yield curves, and volatility pp. 205-225: Steven Heston
Discount curve construction with tension splines pp. 227-267: Leif Andersen

A new approach for option pricing under stochastic volatility pp. 87-150: Peter Carr and Jian Sun
Option pricing when correlations are stochastic: an analytical framework pp. 151-180: José Da Fonseca, Martino Grasselli and Claudio Tebaldi
Tax liens: a novel application of asset pricing theory pp. 181-204: Robert Jarrow and Vikrant Tyagi

Determinants of S&P 500 index option returns pp. 1-38: Charles Cao and Jingzhi Huang
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective pp. 39-58: Robert Jarrow and Amiyatosh Purnanandam
Modelling jumps in electricity prices: theory and empirical evidence pp. 59-85: Jan Seifert and Marliese Uhrig-Homburg

Fourier transformation and the pricing of average-rate derivatives pp. 187-212: Nengjiu Ju and Rui Zhong
Two-dimensional risk-neutral valuation relationships for the pricing of options pp. 213-237: Günter Franke, James Huang and Richard Stapleton
Static versus dynamic hedges: an empirical comparison for barrier options pp. 239-264: Bernd Engelmann, Matthias Fengler, Morten Nalholm and Peter Schwendner

Model misspecification analysis for bond options and Markovian hedging strategies pp. 109-135: Mireille Bossy, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre and Denis Talay
Valuation of vulnerable American options with correlated credit risk pp. 137-165: Lung-Fu Chang and Mao-Wei Hung
Seasonal and stochastic effects in commodity forward curves pp. 167-186: Svetlana Borovkova and Helyette Geman

Calibration and hedging under jump diffusion pp. 1-35: C. He, J. Kennedy, T. Coleman, P. Forsyth, Y. Li and K. Vetzal
Price discovery in the U.S. stock and stock options markets: A portfolio approach pp. 37-65: Richard Holowczak, Yusif Simaan and Liuren Wu
Valuing reload options pp. 67-105: Jonathan Ingersoll

An empirical comparison of GARCH option pricing models pp. 129-150: K. Hsieh and P. Ritchken
Stochastic dividend yields and derivatives pricing in complete markets pp. 151-175: Abraham Lioui
The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets pp. 177-198: James Doran and Ehud Ronn

Options with Constant Underlying Elasticity in Strikes pp. 67-83: Lloyd Blenman and Steven Clark
On the Upper Bound of a Call Option pp. 85-95: John Handley
Option Prices Under Generalized Pricing Kernels pp. 97-123: Bertram Düring and Erik Lüders

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation pp. 5-25: Vicky Henderson, David Hobson, Sam Howison and Tino Kluge
A Continuous Time Model to Price Commodity-Based Swing Options pp. 27-47: M. Dahlgren
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis pp. 49-60: Mariano Cané de Estrada, Elsa Cortina, Constantino FontÁn and Javier Fiori