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 2021-02-01 to 2025-02-01.)
ArticleCitations
Pricing and hedging autocallable products by Markov chain approximation8
Interest rate swaps: a comparison of compounded daily versus discrete reference rates8
Deep calibration of financial models: turning theory into practice6
Martingale defects in the volatility surface and bubble conditions in the underlying5
Valuation of vulnerable options using a bivariate Gram–Charlier approximation4
The interaction between equity-based compensation and debt in managerial risk choices3
Optimal exercise of American put options near maturity: A new economic perspective3
Pricing vulnerable options with jump risk and liquidity risk3
Pricing levered warrants under the CEV diffusion model2
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities2
Mean-variance hedging in the presence of estimation risk2
0.021094083786011