Journal of Derivatives

Papers
(The TQCC 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 2021-05-01 to 2025-05-01.)
ArticleCitations
On the Term Structure of VIX Futures’ Implied Convexity6
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density6
The Forecasting Power of Short-Term Options5
Pricing Total Return Swaps4
Robust Consumption and Portfolio Choice under the 4/2 Stochastic Volatility Model4
Implied Willow Tree3
A Primer on Hedging with Stock Index Futures3
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution3
Applications of FX Derivatives in Active Currency Risk Management2
Evaluation of Deep Learning Algorithms for Quadratic Hedging2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums2
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time2
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives1
Pricing of Adverse Development Covers Using Option Pricing Methods1
Lattice Approach for Option Pricing under Lévy Processes1
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
Editor’s Letter1
The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices1
Editor’s Letter1
The Performance of Jump Models to Price Commodity Options1
Deriving Better Second-Order Derivatives1
Editor’s Letter1
A Leptokurtic Distribution Explains Volatility Skew and Smile1
Practical Application of Derivatives in Asset Management1
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach1
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction1
Application of Credit Derivatives in Portfolio Management1
Income Enhancement with Options0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Tail Risk Hedging in a Low-Rate Environment0
Biased Implied Volatilities and Dividend-Paying Stocks0
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts0
Recovery of Conditional Densities and Their Moments: Time Homogeneity and Anomalies0
Editor’s Letter0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges0
Editor’s Letter0
LIBOR Reform: Option Pricing for Compounded Rates0
Editor’s Letter0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
Kernel-Based Machine Learning for Option Pricing0
Editor’s Letter0
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models0
Inferring the Implied Volatility of SOFR-Based Swaptions0
Exploiting the Gap Between Implied and Realized Volatility0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Editor’s Letter0
Equity Portfolio Trading with Volatility and Dividend Derivatives0
Taxes and Derivatives: An Investor’s Perspective0
The Time Dimension of Volatility: Implications for Option Strategy Design0
Financial Interpretation of Feller’s Factorization0
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson0
Pricing on Trees Using New Risk-Free Rates0
Vol, Skew, and Smile Trading0
Handling the Use of Derivatives in Performance Attribution0
Editor’s Letter0
Option Pricing with Greed and Fear Factor: The Rational Finance Approach0
ARM: The Analytic Recovery Method0
Advanced Option Pricing and Hedging with Q-Learning: Performance Evaluation of the QLBS Algorithm0
A Note on Variance Swap Greeks0
Editor’s Letter0
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Analytical Valuation of Compound Options under Regime-Switching Dynamics0
Editor’s Letter0
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation0
Negative WTI Price: What Really Happened and What Can We Learn?0
Term Structure of Credit Default Swap Liquidity Premiums0
A Bayesian View on Autocallable Pricing and Risk Management0
Option Pricing Models: From Black-Scholes-Merton to Present0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
SOFR Term Rates from Treasury Repo Pricing0
Simulating Theta and Gamma of American Options0
Standard Portfolio Analysis of Risk versus Filtered Historical Simulation Value-at-Risk and its Improvements: Evidence from Taiwan Market0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
Improving and Extending the Wu-Zhu Static Hedge0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
Editor’s Letter0
A Structural Pricing Model for WTI Futures0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Editor’s Letter0
My Reminiscences of Peter Carr0
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model0
Does It Take Two toConTango?0
A Time-Varying, Feature-Rearranged Convolutional Neural Network for Option Pricing0
Thirty Years ofThe Journal of Derivatives: A Bibliometric Overview0
Market Probability of Interest Rate Tick Movements0
Term Risk-Free Rates: Methodologies, Challenges, and the Future0
Do Options Belong in the Portfolios of Individual Investors?0
Malliavin Derivatives of Derivative Securities0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Does Domain Symmetry Affect the Estimation of Implied Skewness?0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Editor’s Letter0
Editor’s Letter0
Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds0
Simplified Option Price Derivations0
SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
Editor’s Letter0
Transforming Derivatives Education: Bridging the Gap Between Theory and Practice0
Pricing Dynamics of Oil Futures with Tail Risk0
Editor’s Letter0
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique0
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions0
Direct Fit for SVI Implied Volatilities0
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 20190
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
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