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 2021-03-01 to 2025-03-01.)
ArticleCitations
Deep calibration of financial models: turning theory into practice8
The impact of risk retention on the pricing of securitizations8
Interest rate swaps: a comparison of compounded daily versus discrete reference rates6
Valuation of vulnerable options using a bivariate Gram–Charlier approximation6
Martingale defects in the volatility surface and bubble conditions in the underlying5
Pricing and hedging autocallable products by Markov chain approximation5
The interaction between equity-based compensation and debt in managerial risk choices3
Pricing levered warrants under the CEV diffusion model3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities3
Financial decision making under optimal control and Markov switching double exponential jump process2
Optimal exercise of American put options near maturity: A new economic perspective2
Pricing vulnerable options with jump risk and liquidity risk2
Hedging cryptocurrency options1
An affine model for short rates when monetary policy is path dependent1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model1
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods1
A two-factor structural model for valuing corporate securities1
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index1
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