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 2021-05-01 to 2025-05-01.)
ArticleCitations
The impact of risk retention on the pricing of securitizations8
Martingale defects in the volatility surface and bubble conditions in the underlying8
Hedging cryptocurrency options7
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model6
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation5
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