Review of Derivatives Research

Papers
(The TQCC of Review of Derivatives Research is 1. 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 2021-09-01 to 2025-09-01.)
ArticleCitations
Martingale defects in the volatility surface and bubble conditions in the underlying13
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
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation3
Hedging cryptocurrency options3
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
CMS spread options in quadratic Gaussian model2
A two-factor structural model for valuing corporate securities1
Swing option-implied volatility1
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach1
Pricing of geometric Asian options in the Volterra-Heston model1
Interest rate swaps: a comparison of compounded daily versus discrete reference rates1
Pricing and hedging autocallable products by Markov chain approximation1
An affine model for short rates when monetary policy is path dependent1
Time-varying predictability of TAIEX volatility1
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