Review of Derivatives Research

Papers
(The median citation count of Review of Derivatives Research 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 2021-08-01 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
Hedging cryptocurrency options5
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model5
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
Pricing of geometric Asian options in the Volterra-Heston model1
Time-varying predictability of TAIEX volatility1
Pricing and hedging autocallable products by Markov chain approximation1
An affine model for short rates when monetary policy is path dependent1
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach1
A two-factor structural model for valuing corporate securities1
Interest rate swaps: a comparison of compounded daily versus discrete reference rates1
Deep calibration of financial models: turning theory into practice1
VIX maturity interpolation0
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility0
The interaction between equity-based compensation and debt in managerial risk choices0
Pricing vulnerable basket spread options with liquidity risk0
Valuation of vulnerable options using a bivariate Gram–Charlier approximation0
Continuity correction: on the pricing of discrete double barrier options0
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle0
A general machine learning framework of real-time evaluation for financial derivatives portfolios0
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index0
Economic policy uncertainty and volatility of treasury futures0
Financial decision making under optimal control and Markov switching double exponential jump process0
Simple is simply not enough—features versus labels of complex financial securities0
Pricing levered warrants under the CEV diffusion model0
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities0
Analytical valuation of a general form of barrier option with stochastic interest rate and jumps0
Implied volatility surfaces: a comprehensive analysis using half a billion option prices0
Not on the same page: comprehensibility of MBS investment prospectuses0
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