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Review of Derivatives Research

Springer Nature

Finance & Accounting
AJG 2ABDC B
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
The systemic footprint: revisiting risk mitigation in long/short and 60/40 portfolios through network connectedness
Spyros Papathanasiou et al.
20262 citations
Valuing vulnerable Asian options under contagion dynamics
Zelei Li et al.
20260 citations
Beyond pure hype: news sentiment and its role in the BTC and ETH futures market
Christian Kreuzer et al.
20260 citations
An integrated optimisation model for pricing and hedging oil derivatives
Teemu Pennanen & LUCIANE SBARAINI BONATTO
20260 citations
Inside the mind of retail short sellers
Nina Klocke & Matthias Pelster
20260 citations
The impact of risk retention on the pricing of securitizations
Martin Hibbeln & Werner Osterkamp
20252 citations
Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
Tristan Guillaume
20252 citations
Pricing of geometric Asian options in the Volterra-Heston model
Florian Aichinger & Sascha Desmettre
20251 citations
Stochastic volatility for factor Heath–Jarrow–Morton framework
Artur Sepp & Parviz Rakhmonov
20250 citations
Digital assets, bubbles, and derivative prices
Robert A. Jarrow
20250 citations
Effect of multiple index derivative expiry on volatility, volume, and connectedness: a tale of two stock indices in India
Bhaskar Chhimwal et al.
20250 citations
Pricing of geometric Asian power barrier options
Hyungkuk Yoon et al.
20250 citations
Option-pricing formulas with skewness and kurtosis
Pakorn Aschakulporn & Jin E. Zhang
20250 citations
Financial decision making under optimal control and Markov switching double exponential jump process
Ons Triki & Fathi Abid
20250 citations
VIX maturity interpolation
Torben G. Andersen et al.
20250 citations
Time-varying predictability of TAIEX volatility
Ging‐Ginq Pan et al.
20250 citations
A general machine learning framework of real-time evaluation for financial derivatives portfolios
Liangliang Zhang et al.
20250 citations
Not on the same page: comprehensibility of MBS investment prospectuses
Martin Hibbeln et al.
20250 citations
Swing option-implied volatility
Hendrik Kohrs et al.
20250 citations
Corporate full-scale hedging and pricing of high-risk growth investment option
Ons Triki & Fathi Abid
20250 citations

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