Review of Derivatives Research

Papers
(The TQCC 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 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
Time-varying predictability of TAIEX volatility3
Interest rate swaps: a comparison of compounded daily versus discrete reference rates3
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
0.11113500595093