Review of Derivatives Research Short Title: Rev. Deriv. Res. Publisher: Springer US, New York, NY ISSN: 1380-6645; 1573-7144/e Online: http://link.springer.com/journal/volumesAndIssues/11147 Documents Indexed: 239 Publications (since 1996) References Indexed: 194 Publications with 6,362 References. all top 5 Latest Issues 24, No. 3 (2021) 24, No. 2 (2021) 24, No. 1 (2021) 23, No. 3 (2020) 23, No. 2 (2020) 23, No. 1 (2020) 22, No. 3 (2019) 22, No. 2 (2019) 22, No. 1 (2019) 21, No. 3 (2018) 21, No. 2 (2018) 21, No. 1 (2018) 20, No. 3 (2017) 20, No. 2 (2017) 20, No. 1 (2017) 19, No. 3 (2016) 19, No. 2 (2016) 19, No. 1 (2016) 18, No. 3 (2015) 18, No. 2 (2015) 18, No. 1 (2015) 17, No. 3 (2014) 17, No. 2 (2014) 17, No. 1 (2014) 16, No. 3 (2013) 16, No. 2 (2013) 16, No. 1 (2013) 15, No. 3 (2012) 15, No. 2 (2012) 15, No. 1 (2012) 14, No. 3 (2011) 14, No. 2 (2011) 14, No. 1 (2011) 13, No. 3 (2010) 13, No. 2 (2010) 13, No. 1 (2010) 12, No. 3 (2009) 12, No. 2 (2009) 12, No. 1 (2009) 11, No. 3 (2008) 11, No. 1-2 (2008) 10, No. 3 (2007) 10, No. 2 (2007) 10, No. 1 (2007) 9, No. 3 (2006) 9, No. 2 (2006) 9, No. 1 (2006) 8, No. 3 (2005) 8, No. 2 (2005) 8, No. 1 (2005) 7, No. 3 (2004) 7, No. 2 (2004) 7, No. 1 (2004) 6, No. 3 (2003) 6, No. 2 (2003) 6, No. 1 (2003) 5, No. 3 (2002) 5, No. 2 (2002) 5, No. 1 (2002) 4, No. 3 (2000) 4, No. 2 (2000) 4, No. 1 (2000) 3, No. 3 (1999) 3, No. 2 (1999) 3, No. 1 (1999) 2, No. 4 (1998) 2, No. 2-3 (1998) 2, No. 1 (1998) 1, No. 3 (1996) 1, No. 2 (1996) 1, No. 1 (1996) all top 5 Authors 12 Jarrow, Robert Alan 4 Ritchken, Peter H. 4 Wang, Jr-Yan 3 Drimus, Gabriel G. 3 Escobar, Marcos 3 Fengler, Matthias R. 3 Hodges, Stewart D. 3 Huang, James Kuodo 3 Hung, Mao-wei 3 Itkin, Andrey 3 Kijima, Masaaki 3 Madan, Dilip B. 3 Mahayni, Antje 3 Nunes, João Pedro Vidal 3 Pelsser, Antoon A. J. 3 Schwartz, Eduardo S. 3 Uhrig-Homburg, Marliese 3 Zhang, Jin E. 2 Andersen, Leif B. G. 2 Bondarenko, Oleg 2 Carr, Peter P. 2 Chance, Don M. 2 Chang, Lung-Fu 2 Cherian, Joseph A. 2 Chesney, Marc 2 Chiu, Wan-Yi 2 Clewlow, Les 2 Cruz, Aricson 2 Dai, Tian-Shyr 2 Das, Sanjiv Ranjan 2 Dias, José Carlos 2 Dorfleitner, Gregor 2 Düring, Bertram 2 Farkas, Walter 2 Forsyth, Peter A. 2 Gao, Bin 2 Gerer, Johannes 2 Gibson, Rajna 2 Guillaume, Florence 2 Guillaume, Tristan 2 Handley, John C. 2 Hieber, Peter 2 Ingersoll, Jonathan E. jun. 2 Kavussanos, Manolis G. 2 Korn, Olaf 2 Kwok, Yue-Kuen 2 Li, Minqiang 2 Rathgeber, Andreas W. 2 Rich, Don 2 Ronn, Ehud I. 2 Rösch, Daniel 2 Schneider, Judith C. 2 Schoutens, Wim 2 Stapleton, Richard C. 2 Stöckl, Stefan 2 Vetzal, Kenneth R. 2 Vitiello, Luiz 2 Wang, Hsiao-Chuan 2 Wang, Xingchun 2 Yildirim, Yildiray 2 Zagst, Rudi 1 Adeinat, Iman 1 Aguilar, Jean-Philippe 1 Ahn, Dong-Hyun 1 Al Rahahleh, Naseem 1 Albeverio, Sergio A. 1 Ammann, Manuel 1 Amzelek, Philippe 1 Andreasen, Jesper 1 Ano, Katsunori 1 Antonelli, Fabio 1 Areal, Nelson 1 Armada, Manuel Rocha 1 Auer, Benjamin R. 1 Baule, Rainer 1 Beisland, Leif Atle 1 Benninga, Simon 1 Bernard, Carole L. 1 Bizid, Abdelhamid 1 Blenman, Lloyd P. 1 Boen, Lynn 1 Bonnaud, Joe 1 Borovkova, Svetlana 1 Bossy, Mireille 1 Branger, Nicole 1 Brinkmann, Felix 1 Brorsen, B. Wade 1 Bruand, Martin 1 Büchel, Patrick 1 Bühler, Wolfgang J. 1 Busch, Thomas 1 Camara, Antonio 1 Cao, Charles 1 Carverhill, Andrew P. 1 Cassano, Mark A. 1 Chalasani, Prasad 1 Chan, Ron Tat Lung 1 Chen, Chun-Ying 1 Chen, Qihong 1 Chen, Ren-Raw ...and 291 more Authors all top 5 Fields 239 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Statistics (62-XX) 26 Probability theory and stochastic processes (60-XX) 11 Numerical analysis (65-XX) 2 Approximations and expansions (41-XX) 1 Functions of a complex variable (30-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 155 Publications have been cited 1,367 times in 1,136 Documents Cited by ▼ Year ▼ On Cox processes and credit risky securities. Zbl 1274.91459Lando, David 153 1998 Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Zbl 1274.91398Andersen, Leif; Andreasen, Jesper 151 2000 Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508Lucia, Julio J.; Schwartz, Eduardo S. 106 2002 Pricing the risks of default. Zbl 1274.91426Madan, Dilip B.; Unal, Haluk 66 1998 Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 62 2007 Option pricing using variance gamma Markov chains. Zbl 1064.91044Konikov, Mikhail; Madan, Dilip B. 34 2002 A new approach for option pricing under stochastic volatility. Zbl 1140.91353Carr, Peter; Sun, Jian 33 2007 Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041Stentoft, Lars 30 2004 Exact solutions for bond and option prices with systematic jump risk. Zbl 1274.91448Das, Sanjiv Ranjan; Foresi, Silverio 23 1996 Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146Itkin, Andrey; Carr, Peter 23 2010 Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 22 2002 Heterogeneity and option pricing. Zbl 1274.91198Benninga, Simon; Mayshar, Joram 21 2000 Calibration and hedging under jump diffusion. Zbl 1274.91414He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R. 21 2006 On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047Moreno, Manuel; Navas, Javier F. 20 2003 The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100Guillaume, Florence 19 2013 Term structure modelling of defaultable bonds. Zbl 1274.91452Schönbucher, Philipp J. 17 1998 The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe 15 2003 Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069Chiarella, Carl; Kwon, Oh Kang 15 2003 A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino 14 2005 Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026Baule, Rainer; Wilkens, Marco 12 2004 Stochastic duration and fast coupon bond option pricing in multi-factor models. Zbl 1274.91431Munk, Claus 12 1999 Valuation of commodity derivatives in a new multi-factor model. Zbl 1070.91014Yan, Xuemin 11 2002 The dynamics of the S&P 500 implied volatility surface. Zbl 1274.91488Skiadopoulos, George; Hodges, Stewart; Clewlow, Les 11 1999 A continuous time model to price commodity-based swing options. Zbl 1134.91406Dahlgren, M. 11 2005 On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377Areal, Nelson; Rodrigues, Artur; Armada, Manuel R. 11 2008 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463Kallsen, Jan; Vierthauer, Richard 11 2009 A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342Zhylyevskyy, Oleksandr 11 2010 Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189Chan, Ron Tat Lung; Hubbert, Simon 10 2014 Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311Antonelli, F.; Ramponi, A.; Scarlatti, S. 10 2010 Pricing average options under time-changed Lévy processes. Zbl 1285.91134Yamazaki, Akira 10 2014 Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406Chang, Lung-Fu; Hung, Mao-Wei 10 2006 Credit events and the valuation of credit derivatives of basket type. Zbl 1274.91418Kijima, Masaaki; Muromachi, Yukio 9 2000 New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263Itkin, Andrey 9 2013 Theory of storage and the pricing of commodity claims. Zbl 1090.91029Nielsen, Martin J.; Schwartz, Eduardo S. 8 2004 Valuation of a credit swap of the basket type. Zbl 1274.91417Kijima, Masaaki 8 2000 Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401Borovkova, Svetlana; Geman, Helyette 8 2006 Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter 8 2006 An empirical comparison of GARCH option pricing models. Zbl 1201.91229Hsieh, K. C.; Ritchken, P. 7 2005 Efficient, exact algorithms for Asian options with multiresolution lattices. Zbl 1054.91035Dai, Tian-Shyr; Lyuu, Yuh-Dauh 7 2002 On the information in the interest rate term structure and option prices. Zbl 1080.91044de Jong, Frank; Driessen, Joost; Pelsser, Antoon 7 2004 Valuing foreign exchange rate derivatives with a bounded exchange process. Zbl 1274.91415Ingersoll, Jonathan E. jun. 7 1996 A refined binomial lattice for pricing American Asian options. Zbl 1274.91477Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok 7 1999 Option market making under inventory risk. Zbl 1168.91401Stoikov, Sasha; Sağlam, Mehmet 7 2009 Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140Herbertsson, Alexander 7 2011 A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173Faria, Gonçalo; Correia-da-Silva, João 6 2014 Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T. 6 2012 An alternative approach to the valuation of American options and applications. Zbl 1274.91419Kim, In Joon; Yu, G. George 6 1996 A tractable yield-curve model that guarantees positive interest rates. Zbl 1274.91437Pelsser, Antoon 6 1996 Dividend forecast biases in index option valuation. Zbl 1274.91405Chance, Don M.; Kumar, Raman; Rich, Don 6 2000 Interest rate option pricing with volatility humps. Zbl 1274.91441Ritchken, Peter; Chuang, Iyuan 6 1999 Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049Wong, Hoi Ying; Kwok, Yue Kuen 6 2003 Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680Seifert, Jan; Uhrig-Homburg, Marliese 6 2007 On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271Ivanov, Roman V.; Ano, Katsunori 6 2016 Foreign currency bubbles. Zbl 1213.91173Jarrow, Robert A.; Protter, Philip 6 2011 Asset pricing under information with stochastic volatility. Zbl 1175.91072Düring, Bertram 6 2009 Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553Hieber, Peter 5 2018 The valuation and behavior of Black-Scholes options subject to intertemporal default risk. Zbl 1274.91440Rich, Don 5 1996 Option pricing using a binomial model with random time steps (A formal model of gamma hedging). Zbl 1274.91409Dengler, Heike; Jarrow, Robert A. 5 1996 American stochastic volatility call option pricing: a lattice based approach. Zbl 1274.91411Finucane, Thomas J.; Tomas, Michael J. 5 1996 Tighter option bounds from multiple exercise prices. Zbl 1274.91442Ryan, Peter J. 5 2000 A universal lattice. Zbl 1274.91478Chen, Ren-Raw; Yang, Tyler T. 5 1999 American option valuation under stochastic interest rates. Zbl 1274.91408Chung, San-Lin 5 1999 Local volatility of volatility for the VIX market. Zbl 1309.91106Drimus, Gabriel; Farkas, Walter 5 2013 Distressed debt prices and recovery rate estimation. Zbl 1165.91370Guo, Xin; Jarrow, Robert A.; Lin, Haizhi 5 2008 Discount curve construction with tension splines. Zbl 1151.91558Andersen, Leif 5 2007 Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072Kao, Lie-Jane 5 2016 An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe 4 2014 Variable purchase options. Zbl 1274.91413Handley, John C. 4 2000 Window double barrier options. Zbl 1065.91024Guillaume, Tristan 4 2003 The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262Griebsch, Susanne A. 4 2013 Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441Franke, Guenter; Huang, James; Stapleton, Richard 4 2006 Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217Siven, Johannes; Poulsen, Rolf 4 2009 Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174Escobar, Marcos; Hieber, Peter; Scherer, Matthias 3 2014 Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527Kim, Sung Ik; Kim, Young Shin 3 2018 Structural default model with mutual obligations. Zbl 1417.91556Itkin, Andrey; Lipton, Alexander 3 2017 Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204Lioui, Abraham 3 2005 A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A. 3 2004 Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035Grundke, Peter; Riedel, Karl O. 3 2004 Discrete-time bond and option pricing for jump-diffusion processes. Zbl 1274.91479Das, Sanjiv Ranjan 3 1996 Effects of callable feature on early exercise policy. Zbl 1274.91421Kwok, Yue Kuen; Wu, Lixin 3 2000 Pricing of non-redundant derivatives in a complete market. Zbl 1274.91400Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François 3 1998 Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models. Zbl 1274.91450Pang, Kin 3 1998 An extended set of risk neutral valuation relationships for the pricing of contingent claims. Zbl 1274.91404Camara, Antonio 3 1999 Options on the minimum or the maximum of two average prices. Zbl 1274.91446Wu, Xueping; Zhang, Jin E. 3 1999 The \(\beta \)-variance gamma model. Zbl 1232.91713Schoutens, Wim; Damme, Geert Van 3 2011 Option prices under generalized pricing kernels. Zbl 1108.91039Düring, Bertram; Lüders, Erik 3 2005 Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael 3 2012 Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158Höcht, Stephan; Zagst, Rudi 3 2010 Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan 3 2008 Single name credit default swaptions meet single sided jump models. Zbl 1163.91434Jönsson, Henrik; Schoutens, Wim 3 2008 Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053Martzoukos, Spiros H. 3 2003 The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515Jarrow, R.; Purnanandam, A. 3 2007 Determinants of S&P 500 index option returns. Zbl 1151.91698Cao, Charles; Huang, Jing-Zhi 3 2007 A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442Li, Minqiang 3 2010 Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013Mahayni, Antje; Schneider, Judith C. 3 2016 The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054Jarrow, Robert; Li, Hao 2 2014 A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496Escobar, Marcos; Gschnaidtner, Christoph 2 2018 On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515Veestraeten, Dirk 2 2017 A unified approach for the pricing of options relating to averages. Zbl 1418.91512Funahashi, Hideharu; Kijima, Masaaki 2 2017 Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T. 2 2019 A model-free approach to multivariate option pricing. Zbl 1470.91270Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven 1 2021 Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. Zbl 1467.91201Liang, Gechun; Wang, Xingchun 1 2021 The global minimum variance hedge. Zbl 1446.91078Chiu, Wan-Yi 1 2020 Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T. 2 2019 A general closed form option pricing formula. Zbl 1414.91384Necula, Ciprian; Drimus, Gabriel; Farkas, Walter 1 2019 Empirical performance of reduced-form models for emission permit prices. Zbl 1425.91352Hitzemann, Steffen; Uhrig-Homburg, Marliese 1 2019 Option-implied value-at-risk and the cross-section of stock returns. Zbl 1425.91430Ammann, Manuel; Feser, Alexander 1 2019 Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553Hieber, Peter 5 2018 Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527Kim, Sung Ik; Kim, Young Shin 3 2018 A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496Escobar, Marcos; Gschnaidtner, Christoph 2 2018 An empirical investigation of large trader market manipulation in derivatives markets. Zbl 1405.91625Jarrow, Robert; Fung, Scott; Tsai, Shih-Chuan 2 2018 Risk-adjusted option-implied moments. Zbl 1417.91493Brinkmann, Felix; Korn, Olaf 1 2018 Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. Zbl 1417.91501Gerer, Johannes; Dorfleitner, Gregor 1 2018 The volatility target effect in structured investment products with capital protection. Zbl 1417.91546Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai 1 2018 The pricing kernel puzzle in forward looking data. Zbl 1405.91605Cuesdeanu, Horatio; Jackwerth, Jens Carsten 1 2018 Structural default model with mutual obligations. Zbl 1417.91556Itkin, Andrey; Lipton, Alexander 3 2017 On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515Veestraeten, Dirk 2 2017 A unified approach for the pricing of options relating to averages. Zbl 1418.91512Funahashi, Hideharu; Kijima, Masaaki 2 2017 A four-factor stochastic volatility model of commodity prices. Zbl 1417.91513Schöne, Max F.; Spinler, Stefan 1 2017 A bias in the volatility smile. Zbl 1417.91494Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram 1 2017 Pricing double barrier options under a volatility regime-switching model with psychological barriers. Zbl 1418.91540Song, Shiyu; Wang, Yongjin 1 2017 On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271Ivanov, Roman V.; Ano, Katsunori 6 2016 Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072Kao, Lie-Jane 5 2016 Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013Mahayni, Antje; Schneider, Judith C. 3 2016 Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305Escobar, Marcos; Krause, Daniel; Zagst, Rudi 1 2016 Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. Zbl 1345.91075Torricelli, Lorenzo 1 2016 Commodity derivative valuation under a factor model with time-varying market prices of risk. Zbl 1315.91072Mirantes, Andrés G.; Población, Javier; Serna, Gregorio 1 2015 Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189Chan, Ron Tat Lung; Hubbert, Simon 10 2014 Pricing average options under time-changed Lévy processes. Zbl 1285.91134Yamazaki, Akira 10 2014 A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173Faria, Gonçalo; Correia-da-Silva, João 6 2014 An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe 4 2014 Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174Escobar, Marcos; Hieber, Peter; Scherer, Matthias 3 2014 The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054Jarrow, Robert; Li, Hao 2 2014 Does modeling framework matter? A comparative study of structural and reduced-form models. Zbl 1285.91139Gündüz, Yalin; Uhrig-Homburg, Marliese 1 2014 Path-dependent game options: a lookback case. Zbl 1285.91127Guo, Peidong; Chen, Qihong; Guo, Xicai; Fang, Yue 1 2014 The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100Guillaume, Florence 19 2013 New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263Itkin, Andrey 9 2013 Local volatility of volatility for the VIX market. Zbl 1309.91106Drimus, Gabriel; Farkas, Walter 5 2013 The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262Griebsch, Susanne A. 4 2013 Valuation of American partial barrier options. Zbl 1296.91264Jun, Doobae; Ku, Hyejin 2 2013 Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Zbl 1282.91261Siriopoulos, Costas; Fassas, Athanasios 1 2013 A lattice model for option pricing under GARCH-jump processes. Zbl 1312.91088Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da 1 2013 Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101Zhao, Bo; Hodges, Stewart D. 1 2013 Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T. 6 2012 Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael 3 2012 Analytical pricing of American options. Zbl 1256.91052Cheng, Jun; Zhang, Jin E. 2 2012 Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140Herbertsson, Alexander 7 2011 Foreign currency bubbles. Zbl 1213.91173Jarrow, Robert A.; Protter, Philip 6 2011 The \(\beta \)-variance gamma model. Zbl 1232.91713Schoutens, Wim; Damme, Geert Van 3 2011 A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178Ji, Dasheng; Brorsen, B. Wade 2 2011 A remark on static hedging of options written on the last exit time. Zbl 1232.91667Imamura, Yuri 1 2011 A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159Costabile, Massimo; Massabó, Ivar; Russo, Emilio 1 2011 Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146Itkin, Andrey; Carr, Peter 23 2010 A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342Zhylyevskyy, Oleksandr 11 2010 Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311Antonelli, F.; Ramponi, A.; Scarlatti, S. 10 2010 Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158Höcht, Stephan; Zagst, Rudi 3 2010 A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442Li, Minqiang 3 2010 The cost of operational risk loss insurance. Zbl 1213.91090Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray 2 2010 Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159Li, Minqiang 2 2010 A comparison of single factor Markov-functional and multi factor market models. Zbl 1213.91083Pietersz, Raoul; Pelsser, Antoon 1 2010 An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454Zhang, Frank Xiaoling 1 2010 Convenience yields. Zbl 1202.91319Jarrow, Robert A. 1 2010 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463Kallsen, Jan; Vierthauer, Richard 11 2009 Option market making under inventory risk. Zbl 1168.91401Stoikov, Sasha; Sağlam, Mehmet 7 2009 Asset pricing under information with stochastic volatility. Zbl 1175.91072Düring, Bertram 6 2009 Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217Siven, Johannes; Poulsen, Rolf 4 2009 A tale of two volatilities. Zbl 1188.91228Madan, Dilip B. 2 2009 Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223Dennis, Patrick; Mayhew, Stewart 2 2009 A general framework for the derivation of asset price bounds: An application to stochastic volatility option models. Zbl 1175.91069Bondarenko, Oleg; Longarela, Iñaki R. 2 2009 Dynamic programming and mean-variance hedging with partial execution risk. Zbl 1168.91370Matsumoto, Koichi 1 2009 On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377Areal, Nelson; Rodrigues, Artur; Armada, Manuel R. 11 2008 Distressed debt prices and recovery rate estimation. Zbl 1165.91370Guo, Xin; Jarrow, Robert A.; Lin, Haizhi 5 2008 Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan 3 2008 Single name credit default swaptions meet single sided jump models. Zbl 1163.91434Jönsson, Henrik; Schoutens, Wim 3 2008 Making the best of best-of. Zbl 1163.91400Guillaume, Tristan 1 2008 Leverage, options liabilities, and corporate bond pricing. Zbl 1165.91402Huang, Hongming; Yildirim, Yildiray 1 2008 Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 62 2007 A new approach for option pricing under stochastic volatility. Zbl 1140.91353Carr, Peter; Sun, Jian 33 2007 Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680Seifert, Jan; Uhrig-Homburg, Marliese 6 2007 Discount curve construction with tension splines. Zbl 1151.91558Andersen, Leif 5 2007 The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515Jarrow, R.; Purnanandam, A. 3 2007 Determinants of S&P 500 index option returns. Zbl 1151.91698Cao, Charles; Huang, Jing-Zhi 3 2007 A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668Heston, Steven L. 1 2007 Calibration and hedging under jump diffusion. Zbl 1274.91414He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R. 21 2006 Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406Chang, Lung-Fu; Hung, Mao-Wei 10 2006 Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401Borovkova, Svetlana; Geman, Helyette 8 2006 Static versus dynamic hedges: an empirical comparison for barrier options. 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Zbl 1090.91029Nielsen, Martin J.; Schwartz, Eduardo S. 8 2004 ...and 55 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,648 Authors 17 Madan, Dilip B. 14 Benth, Fred Espen 14 Chiarella, Carl 10 Grasselli, Martino 10 Lyuu, Yuh-Dauh 10 Oosterlee, Cornelis Willebrordus 9 Elliott, Robert James 9 Escobar, Marcos 9 Kwok, Yue-Kuen 8 Carr, Peter P. 8 Da Fonseca, José 8 Filipović, Damir 8 Jarrow, Robert Alan 8 Liang, Jin 8 Siu, Tak Kuen 8 Zagst, Rudi 7 Ballestra, Luca Vincenzo 7 Company, Rafael 7 Cui, Zhenyu 7 Düring, Bertram 7 Forsyth, Peter A. 7 Gómez-Valle, Lourdes 7 Itkin, Andrey 7 Ivanov, Roman V. 7 Jeanblanc, Monique 7 Martínez-Rodríguez, Julia 7 Tunaru, Radu S. 7 Wang, Guojing 6 Dai, Tian-Shyr 6 Härdle, Wolfgang Karl 6 Jódar Sanchez, Lucas Antonio 6 Kim, Geonwoo 6 Kim, Jeong-Hoon 6 Lipton, Alexander 6 Mariani, Maria Cristina 6 Nikitopoulos Sklibosios, Christina 6 Pelsser, Antoon A. J. 6 Wang, Xingchun 6 Wong, Hoi Ying 6 Ye, Zhongxing 5 Biagini, Francesca 5 Buchmann, Boris 5 Costabile, Massimo 5 Deelstra, Griselda 5 Dong, Yinghui 5 Fusai, Gianluca 5 Geman, Hélyette 5 Guillaume, Florence 5 Hinz, Juri 5 Jun, Doobae 5 Kadalbajoo, Mohan K. 5 Kallsen, Jan 5 Kumar, Alpesh 5 Leung, Tim 5 Li, Lingfei 5 Liang, Xue 5 Ma, Yong-Ki 5 Massabó, Ivar 5 Platen, Eckhard 5 Ramponi, Alessandro 5 Russo, Emilio 5 Schoutens, Wim 5 Tangman, Désiré Yannick 5 Toivanen, Jari 5 Tripathi, Lok Pati 5 Yamazaki, Akira 5 Zheng, Wendong 4 Antonelli, Fabio 4 Badescu, Alexandru M. 4 Bender, Christian 4 Bernard, Carole L. 4 Biffis, Enrico 4 Boen, Lynn 4 Çetin, Umut 4 Chiu, Mei Choi 4 Dai, Min 4 Das, Sanjiv Ranjan 4 Fabozzi, Frank J. 4 Fakharany, M. 4 Gnoatto, Alessandro 4 He, Xinjiang 4 Kijima, Masaaki 4 Ku, Hyejin 4 Kyriakou, Ioannis 4 le Courtois, Olivier 4 Li, Shenghong 4 Lian, Guanghua 4 Lorig, Matthew J. 4 Lu, Kevin W. 4 Mayerhofer, Eberhard 4 Mehrdoust, Farshid 4 Meyer-Brandis, Thilo 4 Millossovich, Pietro 4 Nunes, João Pedro Vidal 4 Pacelli, Graziella 4 Poulsen, Rolf 4 Protter, Philip Elliott 4 Scarlatti, Sergio 4 Schlögl, Erik 4 SenGupta, Indranil ...and 1,548 more Authors all top 5 Cited in 178 Journals 130 Quantitative Finance 77 International Journal of Theoretical and Applied Finance 71 Review of Derivatives Research 54 Journal of Computational and Applied Mathematics 47 European Journal of Operational Research 45 Applied Mathematical Finance 44 Insurance Mathematics & Economics 38 Journal of Economic Dynamics & Control 34 Finance and Stochastics 34 Mathematical Finance 20 Applied Mathematics and Computation 19 SIAM Journal on Financial Mathematics 17 International Journal of Computer Mathematics 17 Asia-Pacific Financial Markets 16 Stochastic Processes and their Applications 14 Mathematics and Financial Economics 13 Applied Numerical Mathematics 13 Discrete Dynamics in Nature and Society 13 Decisions in Economics and Finance 12 Annals of Operations Research 12 The Annals of Applied Probability 11 Journal of Econometrics 9 Computers & Mathematics with Applications 9 Journal of Mathematical Analysis and Applications 9 Chaos, Solitons and Fractals 9 Mathematical Methods of Operations Research 8 Abstract and Applied Analysis 8 Methodology and Computing in Applied Probability 7 Physica A 7 Journal of Applied Probability 7 Computers & Operations Research 7 Applied Mathematics. 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