Review of Derivatives Research

0.8(top 50%)

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281(top 50%)

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5.3K(top 20%)

citations

30(top 20%)

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0.8(top 50%)

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300

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6.7K

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67(top 20%)

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Top Articles

#	Title	Journal	Year	Citations
1	On cox processes and credit risky securities	Review of Derivatives Research	1998	920
2	Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange	Review of Derivatives Research	2002	677
3	Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing	Review of Derivatives Research	2000	356
4	Pricing the risks of default	Review of Derivatives Research	1998	306
5	(null)	Review of Derivatives Research	1998	176
6	Option pricing when correlations are stochastic: an analytical framework	Review of Derivatives Research	2007	158
7	Corporate governance and hedge fund activism	Review of Derivatives Research	2011	139
8	A new approach for option pricing under stochastic volatility	Review of Derivatives Research	2007	124
9	Exact solutions for bond and option prices with systematic jump risk	Review of Derivatives Research	1996	110
10	The Dynamics of the S&P 500 Implied Volatility Surface	Review of Derivatives Research	2000	106
11	Option Pricing Using Variance Gamma Markov Chains	Review of Derivatives Research	2002	98
12	An empirical comparison of GARCH option pricing models	Review of Derivatives Research	2006	96
13	Term structure modelling of defaultable bonds	Review of Derivatives Research	1998	91
14	Assessing the Least Squares Monte-Carlo Approach to American Option Valuation	Review of Derivatives Research	2004	89
15	The Dynamics of Implied Volatilities: A Common Principal Components Approach	Review of Derivatives Research	2003	85
16	On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives	Review of Derivatives Research	2003	83
17	(null)	Review of Derivatives Research	1998	83
18	Modelling jumps in electricity prices: theory and empirical evidence	Review of Derivatives Research	2007	82
19	Price Discovery, Causality and Forecasting in the Freight Futures Market	Review of Derivatives Research	2003	77
20	Calibration and hedging under jump diffusion	Review of Derivatives Research	2007	77
21	Convergence of numerical methods for valuing path-dependent options using interpolation	Review of Derivatives Research	2002	70
22	Heterogeneity and Option Pricing	Review of Derivatives Research	2000	65
23	Seasonal and stochastic effects in commodity forward curves	Review of Derivatives Research	2007	64
24	Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case	Review of Derivatives Research	2010	61
25	The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests	Review of Derivatives Research	2004	57
26	Valuing foreign exchange rate derivatives with a bounded exchange process	Review of Derivatives Research	1996	53
27	Stochastic duration and fast coupon bond option pricing in multi-factor models	Review of Derivatives Research	1999	49
28	Theory of Storage and the Pricing of Commodity Claims	Review of Derivatives Research	2004	48
29	Price discovery in the U.S. stock and stock options markets: A portfolio approach	Review of Derivatives Research	2007	48
30	Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields	Review of Derivatives Research	2003	45
31	Valuation of commodity derivatives in a new multi-factor model	Review of Derivatives Research	2002	41
32	A fast Fourier transform technique for pricing American options under stochastic volatility	Review of Derivatives Research	2010	41
33	On improving the least squares Monte Carlo option valuation method	Review of Derivatives Research	2008	40
34	Interest rate option pricing with volatility humps	Review of Derivatives Research	2000	36
35	The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets	Review of Derivatives Research	2006	35
36	Microstructural biases in empirical tests of option pricing models	Review of Derivatives Research	2009	34
37	Calibration risk: Illustrating the impact of calibration risk under the Heston model	Review of Derivatives Research	2012	34
38	The αVG model for multivariate asset pricing: calibration and extension	Review of Derivatives Research	2013	33
39	A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation	Review of Derivatives Research	2005	32
40	Index-option pricing with stochastic volatility and the value of accurate variance forecasts	Review of Derivatives Research	1996	31
41	Static versus dynamic hedges: an empirical comparison for barrier options	Review of Derivatives Research	2006	31
42	Credit Events and the Valuation of Credit Derivatives of Basket Type	Review of Derivatives Research	2000	29
43	Option market making under inventory risk	Review of Derivatives Research	2009	29
44	Options markets, self-fulfilling prophecies, and implied volatilities	Review of Derivatives Research	1998	28
45	A Model of the Convenience Yields in On-the-Run Treasuries	Review of Derivatives Research	2004	28
46	New solvable stochastic volatility models for pricing volatility derivatives	Review of Derivatives Research	2013	27
47	Exchange option pricing under stochastic volatility: a correlation expansion	Review of Derivatives Research	2010	26
48	The impact of quantitative easing on the US term structure of interest rates	Review of Derivatives Research	2014	26
49	The valuation and behavior of black-scholes options subject to intertemporal default risk	Review of Derivatives Research	1996	25
50	Pricing of swaps with default risk	Review of Derivatives Research	1998	25

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