Review of Derivatives Research

Papers
(The H4-Index of Review of Derivatives Research is 5. 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 2021-06-01 to 2025-06-01.)
ArticleCitations
Martingale defects in the volatility surface and bubble conditions in the underlying10
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model8
The impact of risk retention on the pricing of securitizations8
Hedging cryptocurrency options6
CMS spread options in quadratic Gaussian model5
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation5
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