Journal of Derivatives

Papers
(The median citation count of Journal of Derivatives is 0. 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
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
A Convolution-Based Heterogeneous Autoregressive Model for Implied Volatility Surface Forecasting3
Risk-Neutral Pricing of Quanto Options with Generative Machine Learning Techniques2
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums2
Contract-Level Binary Prediction of Implied Volatility Surfaces Using Transformers2
Long-Term Benefits of Call Overwriting2
Editor’s Letter2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time1
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction1
Dynamic Programming for Valuing Options Embedded in Corporate Bonds1
Editor’s Letter1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices1
A Leptokurtic Distribution Explains Volatility Skew and Smile1
An Enhanced Static Hedge: Using Two Symmetric Pairs of Options1
Deriving Better Second-Order Derivatives1
Practical Application of Derivatives in Asset Management1
Lattice Approach for Option Pricing under Lévy Processes1
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method1
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models0
Improving and Extending the Wu-Zhu Static Hedge0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Editor’s Letter0
The Performance of Jump Models to Price Commodity Options0
Simulating Theta and Gamma of American Options0
Malliavin Derivatives of Derivative Securities0
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions0
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure0
Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics0
My Reminiscences of Peter Carr0
Trader-Ready SOFR Swaption Pricing: Jamshidian Decomposition under the Hull–White Model0
Semianalytical Pricing of American Options with Hybrid Dividends via Integral Equations and the GIT Method0
Does It Take Two to ConTango?0
Biased Implied Volatilities and Dividend-Paying Stocks0
The Impact of the Self-Exciting Process on the Short-Term Interest Rate Model0
Exotic Callable Structured Products Valuation via Randomized Neural Networks0
Kernel-Based Machine Learning for Option Pricing0
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson0
Editor’s Letter0
Transforming Derivatives Education: Bridging the Gap Between Theory and Practice0
ARM: The Analytic Recovery Method0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Editor’s Letter0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps0
Does Domain Symmetry Affect the Estimation of Implied Skewness?0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Model-Free Deep Hedging with Transaction Costs and Light and Augmented Data Methods0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
Standard Portfolio Analysis of Risk versus Filtered Historical Simulation Value-at-Risk and Its Improvements: Evidence from Taiwan Market0
Frank Fabozzi Interview with Thomas S. Y. Ho0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Editor’s Letter0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach0
SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features0
Market Probability of Interest Rate Tick Movements0
Editor’s Letter0
Inferring the Implied Volatility of SOFR-Based Swaptions0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
A Quantum Jump Model of Option Pricing0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion0
Hedge and Price American Options with Static Hedging Portfolio Method under Stochastic Volatility0
Thirty Years ofThe Journal of Derivatives: A Bibliometric Overview0
Advanced Option Pricing and Hedging with Q-Learning: Performance Evaluation of the QLBS Algorithm0
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model0
Exploiting the Gap Between Implied and Realized Volatility0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts0
Systematic Risk and the Discount for Lack of Marketability0
Nonparametric Market-Implied Greeks0
Term Structure of Credit Default Swap Liquidity Premiums0
Willow Tree Approach to Optimal Investment with Capital Restriction under Merton’s Jump Diffusion Model0
Recovery of Conditional Densities and Their Moments: Time Homogeneity and Anomalies0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation0
Editor’s Letter0
Cross-Market Manipulation on Derivative Market Expiration Dates0
The Embedded Option Pricing of Treasury Bond Futures under GED-IO Model0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Modeling Stock Return Distributions and Pricing Options0
Editor’s Letter0
Risk-Weighted Time-Series Momentum: New Evidence from China’s Commodity Futures0
A Structural Pricing Model for WTI Futures0
Editor’s Letter0
Financial Interpretation of Feller’s Factorization0
Dynamic Optimality of Airline Fuel Cost Hedging0
Editor’s Letter0
A Time-Varying, Feature-Rearranged Convolutional Neural Network for Option Pricing0
Pricing on Trees Using New Risk-Free Rates0
Smoothing Tail Estimation of Risk-Neutral Densities: Evidence from S&P 500 Index Options0
Vol, Skew, and Smile Trading0
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 20190
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
A Note on Variance Swap Greeks0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Editor’s Letter0
Editor’s Letter0
Editor’s Letter0
A Bayesian View on Autocallable Pricing and Risk Management0
LIBOR Reform: Option Pricing for Compounded Rates0
Model-Free Boundaries of Option Time Value and Early Exercise Premium0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges0
Direct Fit for SVI Implied Volatilities0
Editor’s Letter0
Editor’s Letter0
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