Journal of Derivatives

Papers
(The TQCC of Journal of Derivatives 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 2021-11-01 to 2025-11-01.)
ArticleCitations
On the Term Structure of VIX Futures’ Implied Convexity9
The Forecasting Power of Short-Term Options7
Robust Consumption and Portfolio Choice under the 4/2 Stochastic Volatility Model6
Pricing Total Return Swaps5
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution4
A Primer on Hedging with Stock Index Futures4
Implied Willow Tree4
Risk-Neutral Pricing of Quanto Options with Generative Machine Learning Techniques3
Evaluation of Deep Learning Algorithms for Quadratic Hedging3
Applications of FX Derivatives in Active Currency Risk Management3
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums3
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time2
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction2
Deriving Better Second-Order Derivatives2
The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices2
Editor’s Letter2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Application of Credit Derivatives in Portfolio Management2
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method1
The Performance of Jump Models to Price Commodity Options1
A Structural Pricing Model for WTI Futures1
Editor’s Letter1
Editor’s Letter1
A Leptokurtic Distribution Explains Volatility Skew and Smile1
An Enhanced Static Hedge: Using Two Symmetric Pairs of Options1
Equity Portfolio Trading with Volatility and Dividend Derivatives1
Dynamic Programming for Valuing Options Embedded in Corporate Bonds1
Practical Application of Derivatives in Asset Management1
Lattice Approach for Option Pricing under Lévy Processes1
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach1
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions1
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 20190
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Editor’s Letter0
Thirty Years ofThe Journal of Derivatives: A Bibliometric Overview0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
Option Pricing Models: From Black-Scholes-Merton to Present0
The Impact of the Self-Exciting Process for Short-Term Interest Rate Model0
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models0
SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features0
Biased Implied Volatilities and Dividend-Paying Stocks0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Editor’s Letter0
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure0
Editor’s Letter0
ARM: The Analytic Recovery Method0
Market Probability of Interest Rate Tick Movements0
Transforming Derivatives Education: Bridging the Gap Between Theory and Practice0
Standard Portfolio Analysis of Risk versus Filtered Historical Simulation Value-at-Risk and Its Improvements: Evidence from Taiwan Market0
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion0
Malliavin Derivatives of Derivative Securities0
Editor’s Letter0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
Model-Free Boundaries of Option Time Value and Early Exercise Premium0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
Pricing Dynamics of Oil Futures with Tail Risk0
Risk-Weighted Time-Series Momentum: New Evidence from China’s Commodity Futures0
A Time-Varying, Feature-Rearranged Convolutional Neural Network for Option Pricing0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Recovery of Conditional Densities and Their Moments: Time Homogeneity and Anomalies0
Dynamic Optimality of Airline Fuel Cost Hedging0
Income Enhancement with Options0
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation0
The Time Dimension of Volatility: Implications for Option Strategy Design0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Handling the Use of Derivatives in Performance Attribution0
Editor’s Letter0
Negative WTI Price: What Really Happened and What Can We Learn?0
Term Risk-Free Rates: Methodologies, Challenges, and the Future0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
Editor’s Letter0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion0
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
LIBOR Reform: Option Pricing for Compounded Rates0
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts0
Simplified Option Price Derivations0
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique0
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation0
A Bayesian View on Autocallable Pricing and Risk Management0
Editor’s Letter0
Term Structure of Credit Default Swap Liquidity Premiums0
Pricing on Trees Using New Risk-Free Rates0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Editor’s Letter0
Vol, Skew, and Smile Trading0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
Do Options Belong in the Portfolios of Individual Investors?0
Tail Risk Hedging in a Low-Rate Environment0
Exploiting the Gap Between Implied and Realized Volatility0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
Direct Fit for SVI Implied Volatilities0
A Quantum Jump Model of Option Pricing0
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges0
Editor’s Letter0
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps0
Editor’s Letter0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
SOFR Term Rates from Treasury Repo Pricing0
Simulating Theta and Gamma of American Options0
Smoothing Tail Estimation of Risk-Neutral Densities: Evidence from S&P 500 Index Options0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Editor’s Letter0
A Note on Variance Swap Greeks0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Taxes and Derivatives: An Investor’s Perspective0
Inferring the Implied Volatility of SOFR-Based Swaptions0
Editor’s Letter0
Advanced Option Pricing and Hedging with Q-Learning: Performance Evaluation of the QLBS Algorithm0
Kernel-Based Machine Learning for Option Pricing0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
My Reminiscences of Peter Carr0
Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
Does It Take Two to ConTango?0
Does Domain Symmetry Affect the Estimation of Implied Skewness?0
Hedge and Price American Options with Static Hedging Portfolio Method under Stochastic Volatility0
Cross-Market Manipulation on Derivative Market Expiration Dates0
Editor’s Letter0
Financial Interpretation of Feller’s Factorization0
Editor’s Letter0
Improving and Extending the Wu-Zhu Static Hedge0
Willow Tree Approach to Optimal Investment with Capital Restriction under Merton’s Jump Diffusion Model0
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