Review of Derivatives Research

Papers
(The median citation count of Review of Derivatives Research is 1. 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
Martingale defects in the volatility surface and bubble conditions in the underlying8
The impact of risk retention on the pricing of securitizations8
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
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter3
CMS spread options in quadratic Gaussian model3
The impact of non-cash collateralization on the over-the-counter derivatives markets3
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach2
Pricing and hedging autocallable products by Markov chain approximation2
Interest rate swaps: a comparison of compounded daily versus discrete reference rates2
Deep calibration of financial models: turning theory into practice2
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility1
An affine model for short rates when monetary policy is path dependent1
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle1
A two-factor structural model for valuing corporate securities1
Pricing levered warrants under the CEV diffusion model1
Pricing of geometric Asian options in the Volterra-Heston model1
Pricing vulnerable basket spread options with liquidity risk1
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