Review of Derivatives Research

Papers
(The TQCC of Review of Derivatives Research is 2. 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 2021-08-01 to 2025-08-01.)
ArticleCitations
Martingale defects in the volatility surface and bubble conditions in the underlying11
The impact of risk retention on the pricing of securitizations10
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model5
Hedging cryptocurrency options5
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation3
CMS spread options in quadratic Gaussian model3
The impact of non-cash collateralization on the over-the-counter derivatives markets2
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter2
Swing option-implied volatility2
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