Review of Derivatives Research

Papers
(The H4-Index of Review of Derivatives Research is 5. 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 2021-04-01 to 2025-04-01.)
ArticleCitations
The impact of risk retention on the pricing of securitizations8
Deep calibration of financial models: turning theory into practice8
Valuation of vulnerable options using a bivariate Gram–Charlier approximation6
Interest rate swaps: a comparison of compounded daily versus discrete reference rates6
Pricing and hedging autocallable products by Markov chain approximation5
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