Review of Derivatives Research

Papers
(The median citation count of Review of Derivatives Research 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 2022-05-01 to 2026-05-01.)
ArticleCitations
The impact of risk retention on the pricing of securitizations18
Martingale defects in the volatility surface and bubble conditions in the underlying11
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model7
Hedging cryptocurrency options5
Swing option-implied volatility4
CMS spread options in quadratic Gaussian model4
Interest rate swaps: a comparison of compounded daily versus discrete reference rates3
Time-varying predictability of TAIEX volatility3
An integrated optimisation model for pricing and hedging oil derivatives2
Stochastic volatility for factor Heath–Jarrow–Morton framework2
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach2
A two-factor structural model for valuing corporate securities1
Pricing vulnerable basket spread options with liquidity risk1
Financial derivatives usage and stock price crash risk: evidence from the Chinese emerging market1
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle1
Pricing of geometric Asian options in the Volterra-Heston model1
Inside the mind of retail short sellers1
How do option contract sizes affect investor composition and market quality?1
Pricing and hedging autocallable products by Markov chain approximation1
An affine model for short rates when monetary policy is path dependent1
Pricing levered warrants under the CEV diffusion model1
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility1
Predicting option prices from their price history via machine learning0
Analytical valuation of a general form of barrier option with stochastic interest rate and jumps0
Corporate full-scale hedging and pricing of high-risk growth investment option0
Implied volatility surfaces: a comprehensive analysis using half a billion option prices0
Financial decision making under optimal control and Markov switching double exponential jump process0
Continuity correction: on the pricing of discrete double barrier options0
Digital assets, bubbles, and derivative prices0
Beyond pure hype: news sentiment and its role in the BTC and ETH futures market0
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities0
Simple is simply not enough—features versus labels of complex financial securities0
Valuing vulnerable Asian options under contagion dynamics0
Valuation of vulnerable options using a bivariate Gram–Charlier approximation0
Derivatives use and credit risk in global banking industry: Does bank specialization matter?0
Effect of multiple index derivative expiry on volatility, volume, and connectedness: a tale of two stock indices in India0
Pricing of geometric Asian power barrier options0
A general machine learning framework of real-time evaluation for financial derivatives portfolios0
The interaction between equity-based compensation and debt in managerial risk choices0
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index0
Option-pricing formulas with skewness and kurtosis0
American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions0
Not on the same page: comprehensibility of MBS investment prospectuses0
VIX maturity interpolation0
The systemic footprint: revisiting risk mitigation in long/short and 60/40 portfolios through network connectedness0
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