Journal of Derivatives

Papers
(The H4-Index of Journal of Derivatives is 3. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-05-01 to 2026-05-01.)
ArticleCitations
On the Term Structure of VIX Futures’ Implied Convexity6
The Forecasting Power of Short-Term Options6
Robust Consumption and Portfolio Choice under the 4/2 Stochastic Volatility Model4
A Convolution-Based Heterogeneous Autoregressive Model for Implied Volatility Surface Forecasting3
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution3
Pricing Vulnerable Basket-Spread Options in Multivariate Variance Gamma Models3
Evaluation of Deep Learning Algorithms for Quadratic Hedging3
Pricing Total Return Swaps3
Editor’s Letter3
Implied Willow Tree3
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