Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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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

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