Citation analysis for Review of Derivatives Research / Springer

Review of Derivatives Research / Springer

0.05

Impact Factor

0.31

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.1			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.04
1995		0.19			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.26			0				0		0		(%)			0.09
1998		0.28			0				0		0		(%)			0.1
1999		0.32		4	4	2	0.5	14	0		0		4 (28.6%)			0.13
2000	0.25	0.39	0.25	12	16	1	0.06	74	4	1	4	1	6 (8.1%)			0.15
2001		0.39			16				16		16		(%)			0.14
2002		0.4		6	22	2	0.09	29	12		16		3 (10.3%)			0.17
2003		0.43	0.18	6	28	7	0.25	113	6		22	4	3 (2.7%)	3	0.5	0.18
2004	1.08	0.48	0.61	7	35	19	0.54	80	12	13	28	17	6 (7.5%)	2	0.29	0.19
2005	1.23	0.52	0.77	12	47	27	0.57	49	13	16	31	24	(%)			0.2
2006	0.21	0.51	0.39	9	56	21	0.38	29	19	4	31	12	2 (6.9%)			0.2
2007	0.05	0.45	0.38	8	64	18	0.28	135	21	1	40	15	8 (5.9%)	1	0.13	0.18
2008	0.24	0.48	0.45	9	73	27	0.37	15	17	4	42	19	1 (6.7%)			0.2
2009	0.35	0.49	0.42	10	83	34	0.41	34	17	6	45	19	1 (2.9%)			0.19
2010	0.16	0.46	0.19	12	95	28	0.29	45	19	3	48	9	4 (8.9%)			0.17
2011	0.27	0.49	0.35	14	109	36	0.33	34	22	6	48	17	1 (2.9%)			0.19
2012	0.38	0.52	0.51	10	119	39	0.33	20	26	10	53	27	5 (25%)			0.19
2013	0.33	0.58	0.42	12	131	65	0.5	40	24	8	55	23	1 (2.5%)	2	0.17	0.2
2014	0.59	0.6	0.43	12	143	80	0.56	22	22	13	58	25	2 (9.1%)			0.2
2015	0.21	0.61	0.3	12	155	68	0.44	6	24	5	60	18	2 (33.3%)			0.19
2016	0.58	0.68	0.6	9	164	104	0.63	4	24	14	60	36	1 (25%)			0.2
2017	0.05	0.73	0.31	10	174	99	0.57	6	21	1	55	17	(%)	1	0.1	0.22

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃÂ© ; Grasselli, Martino. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180. Full description at Econpapers \|\| Download paper	51
2	2000	Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers \|\| Download paper	46
3	2007	A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers \|\| Download paper	45
4	2004	Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). Stentoft, Lars. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168. Full description at Econpapers \|\| Download paper	34
5	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃÂ¤rdle, Wolfgang ; Fengler, Matthias ; Villa, Christophe ; Hardle, Wolfgang . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers \|\| Download paper	34
6	2003	On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). Navas, Javier ; Moreno, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128. Full description at Econpapers \|\| Download paper	32
7	2003	Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Chiarella, Carl ; Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155. Full description at Econpapers \|\| Download paper	28
8	2010	Pricing swaps and options on quadratic variation under stochastic time change modelsâdiscrete observations case. (2010). Itkin, Andrey ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176. Full description at Econpapers \|\| Download paper	24
9	2007	Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers \|\| Download paper	22
10	2005	An empirical comparison of GARCH option pricing models. (2005). Hsieh, K. ; Ritchken, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150. Full description at Econpapers \|\| Download paper	21
11	2004	Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers \|\| Download paper	18
12	2011	Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers \|\| Download paper	17
13	2003	Price Discovery, Causality and Forecasting in the Freight Futures Market. (2003). Kavussanos, Manolis ; Nomikos, Nikos . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230. Full description at Econpapers \|\| Download paper	14
14	2004	On the Information in the Interest Rate Term Structure and Option Prices. (2004). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127. Full description at Econpapers \|\| Download paper	14
15	2000	The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Skiadopoulos, George ; Clewlow, Les ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282. Full description at Econpapers \|\| Download paper	13
16	2002	Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314. Full description at Econpapers \|\| Download paper	12
17	2013	New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134. Full description at Econpapers \|\| Download paper	12
18	2002	Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271. Full description at Econpapers \|\| Download paper	11
19	2006	Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers \|\| Download paper	11
20	2007	Discount curve construction with tension splines. (2007). Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267. Full description at Econpapers \|\| Download paper	11
21		The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Menachof, David . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266. Full description at Econpapers \|\| Download paper	10
22	2009	Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27. Full description at Econpapers \|\| Download paper	10
23	1999	Stochastic duration and fast coupon bond option pricing in multi-factor models. (1999). Munk, Claus. In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:1999:i:2:p:157-181. Full description at Econpapers \|\| Download paper	10
24	2005	The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets. (2005). Doran, James ; Ronn, Ehud . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:177-198. Full description at Econpapers \|\| Download paper	9
25	2009	Microstructural biases in empirical tests of option pricing models. (2009). Mayhew, Stewart ; Dennis, Patrick . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191. Full description at Econpapers \|\| Download paper	8
26	2014	Pricing average options under time-changed LÃ©vy processes. (2014). Yamazaki, Akira. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111. Full description at Econpapers \|\| Download paper	8
27	2009	Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers \|\| Download paper	8
28	2011	Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers \|\| Download paper	7
29	2013	The Î±VG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52. Full description at Econpapers \|\| Download paper	7
30	2006	Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers \|\| Download paper	7
31	2004	A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Cherian, Joseph A. ; Jacquier, Eric. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers \|\| Download paper	7
32	2013	Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). Fassas, Athanasios ; SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266. Full description at Econpapers \|\| Download paper	6
33	2010	A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24. Full description at Econpapers \|\| Download paper	6
34	2012	Liquidity and CDS premiums on European companies around the Subprime crisis. (2012). PETITJEAN, Mikael ; Majois, Christophe ; LESPLINGART, Clothilde . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:257-281. Full description at Econpapers \|\| Download paper	6
35	2014	The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321. Full description at Econpapers \|\| Download paper	5
36	2000	Dynamic Volatility Trading Strategies in the Currency Option Market. (2000). Guo, Dajiang. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:133-154. Full description at Econpapers \|\| Download paper	5
37	2012	Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers \|\| Download paper	5
38	2008	Distressed debt prices and recovery rate estimation. (2008). Jarrow, Robert ; Lin, Haizhi ; Guo, Xin. In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers \|\| Download paper	5
39	2012	A call on art investments. (2012). KrÃÂ¤ussl, Roman ; Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23. Full description at Econpapers \|\| Download paper	5
40	2007	The valuation of a firmâs investment opportunities: a reduced form credit risk perspective. (2007). Purnanandam, Amiyatosh ; Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:39-58. Full description at Econpapers \|\| Download paper	5
41	2006	Static versus dynamic hedges: an empirical comparison for barrier options. (2006). Fengler, Matthias ; Engelmann, Bernd ; Schwendner, Peter ; Nalholm, Morten . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264. Full description at Econpapers \|\| Download paper	4
42	2010	Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, A. ; Scarlatti, S. ; Antonelli, F.. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:45-73. Full description at Econpapers \|\| Download paper	4
43	2008	On improving the least squares Monte Carlo option valuation method. (2008). Rodrigues, Artur ; Areal, Nelson ; Armada, Manuel . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:119-151. Full description at Econpapers \|\| Download paper	4
44	2004	Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing. (2004). Wilkens, Marco ; Baule, Rainer. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:53-72. Full description at Econpapers \|\| Download paper	4
45	2010	Convenience yields. (2010). Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:25-43. Full description at Econpapers \|\| Download paper	4
46	2005	A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation. (2005). Hobson, David ; Henderson, Vicky ; Kluge, Tino ; Howison, Sam . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:5-25. Full description at Econpapers \|\| Download paper	4
47	2002	Banks option to lend, interest rate sensitivity, and credit availability. (2002). HASAN, IFTEKHAR ; Sarkar, Sudipto. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:213-250. Full description at Econpapers \|\| Download paper	4
48	2000	Tighter Option Bounds from Multiple Exercise Prices. (2000). Ryan, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:155-188. Full description at Econpapers \|\| Download paper	3
49	2011	A remark on static hedging of options written on the last exit time. (2011). Imamura, Yuri . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:3:p:333-347. Full description at Econpapers \|\| Download paper	3
50	2013	Parametric modeling of implied smile functions: a generalized SVI model. (2013). Zhao, BO ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77. Full description at Econpapers \|\| Download paper	3

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2007	A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers \|\| Download paper	20
2	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃÂ© ; Grasselli, Martino. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180. Full description at Econpapers \|\| Download paper	15
3	2000	Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers \|\| Download paper	15
4	2013	New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134. Full description at Econpapers \|\| Download paper	9
5	2010	Pricing swaps and options on quadratic variation under stochastic time change modelsâdiscrete observations case. (2010). Itkin, Andrey ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176. Full description at Econpapers \|\| Download paper	9
6	2014	Pricing average options under time-changed LÃ©vy processes. (2014). Yamazaki, Akira. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111. Full description at Econpapers \|\| Download paper	8
7	2011	Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers \|\| Download paper	7
8	2007	Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers \|\| Download paper	7
9	2003	Price Discovery, Causality and Forecasting in the Freight Futures Market. (2003). Kavussanos, Manolis ; Nomikos, Nikos . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230. Full description at Econpapers \|\| Download paper	6
10	2007	Discount curve construction with tension splines. (2007). Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267. Full description at Econpapers \|\| Download paper	6
11	2004	Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). Stentoft, Lars. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168. Full description at Econpapers \|\| Download paper	6
12	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃÂ¤rdle, Wolfgang ; Fengler, Matthias ; Villa, Christophe ; Hardle, Wolfgang . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers \|\| Download paper	6
13	2004	Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers \|\| Download paper	6
14	2014	The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321. Full description at Econpapers \|\| Download paper	5
15	2005	The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Menachof, David . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266. Full description at Econpapers \|\| Download paper	5
16	2013	The Î±VG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52. Full description at Econpapers \|\| Download paper	5
17	2012	Liquidity and CDS premiums on European companies around the Subprime crisis. (2012). PETITJEAN, Mikael ; Majois, Christophe ; LESPLINGART, Clothilde . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:257-281. Full description at Econpapers \|\| Download paper	5
18	2010	Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, A. ; Scarlatti, S. ; Antonelli, F.. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:45-73. Full description at Econpapers \|\| Download paper	4
19	2002	Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314. Full description at Econpapers \|\| Download paper	4
20	2002	Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271. Full description at Econpapers \|\| Download paper	4
21	2004	Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing. (2004). Wilkens, Marco ; Baule, Rainer. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:53-72. Full description at Econpapers \|\| Download paper	3
22	2003	On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). Navas, Javier ; Moreno, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128. Full description at Econpapers \|\| Download paper	3
23	2009	Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27. Full description at Econpapers \|\| Download paper	3
24	2011	Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers \|\| Download paper	3
25	2008	On improving the least squares Monte Carlo option valuation method. (2008). Rodrigues, Artur ; Areal, Nelson ; Armada, Manuel . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:119-151. Full description at Econpapers \|\| Download paper	3
26	2013	Local volatility of volatility for the VIX market. (2013). Drimus, Gabriel ; Farkas, Walter . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:267-293. Full description at Econpapers \|\| Download paper	3
27	2015	Do CDS spreads move with commonality in liquidity?. (2015). Meine, Christian ; Weiss, Gregor ; Supper, Hendrik . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:3:p:225-261. Full description at Econpapers \|\| Download paper	3
28	2003	Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Chiarella, Carl ; Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155. Full description at Econpapers \|\| Download paper	3
29	2013	Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). Fassas, Athanasios ; SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266. Full description at Econpapers \|\| Download paper	3
30	2005	An empirical comparison of GARCH option pricing models. (2005). Hsieh, K. ; Ritchken, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150. Full description at Econpapers \|\| Download paper	3
31	2012	A call on art investments. (2012). KrÃÂ¤ussl, Roman ; Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23. Full description at Econpapers \|\| Download paper	2
32	2010	The cost of operational risk loss insurance. (2010). Jarrow, Robert ; Oxman, Jeff ; Yildirim, Yildiray. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:273-295. Full description at Econpapers \|\| Download paper	2
33	2013	The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. (2013). Griebsch, Susanne . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:135-165. Full description at Econpapers \|\| Download paper	2
34	2012	Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers \|\| Download paper	2
35	2007	Determinants of S&P 500 index option returns. (2007). Huang, Jingzhi ; Cao, Charles. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:1-38. Full description at Econpapers \|\| Download paper	2
36	2009	Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers \|\| Download paper	2
37	2014	An overview of the valuation of collateralized derivative contracts. (2014). Laurent, Jean-Paul ; Amzelek, Philippe ; Bonnaud, Joe . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:261-286. Full description at Econpapers \|\| Download paper	2
38	2014	A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, GonÃÂ§alo ; Correia-da-Silva, Joao ; JoÃ£o Correia-da-Silva, ; JoÃ£o Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159. Full description at Econpapers \|\| Download paper	2
39	2006	Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers \|\| Download paper	2
40	2010	A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24. Full description at Econpapers \|\| Download paper	2
41	2008	Single name credit default swaptions meet single sided jump models. (2008). Jonsson, Henrik ; Schoutens, Wim. In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:153-169. Full description at Econpapers \|\| Download paper	2
42	2016	On exact pricing of FX options in multivariate time-changed LÃ©vy models. (2016). Ano, Katsunori ; Ivanov, Roman V. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9120-4. Full description at Econpapers \|\| Download paper	2
43	2009	Microstructural biases in empirical tests of option pricing models. (2009). Mayhew, Stewart ; Dennis, Patrick . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191. Full description at Econpapers \|\| Download paper	2
44	2004	A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Cherian, Joseph A. ; Jacquier, Eric. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers \|\| Download paper	2
45	2006	Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers \|\| Download paper	2
46	2014	Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (2014). Chan, Ron ; Hubbert, Simon . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:161-189. Full description at Econpapers \|\| Download paper	2
47	2005	A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation. (2005). Hobson, David ; Henderson, Vicky ; Kluge, Tino ; Howison, Sam . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:5-25. Full description at Econpapers \|\| Download paper	2
48	2015	Do correlated defaults matter for CDS premia? An empirical analysis. (2015). Koziol, Philipp ; Schon, Thomas . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:3:p:191-224. Full description at Econpapers \|\| Download paper	2
49	2016	Minimum return guarantees, investment caps, and investment flexibility. (2016). Mahayni, Antje ; Schneider, Judith C. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:2:d:10.1007_s11147-015-9116-5. Full description at Econpapers \|\| Download paper	2
50	2017	Structural default model with mutual obligations. (2017). Itkin, Andrey ; Lipton, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9123-1. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 1:

Year	Title
2017	The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk. (2017). Mahayni, Antje ; Muck, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9131-9. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Asymptotics for Greeks under the constant elasticity of variance model. (2017). Kritski, Oleg L ; Zalmezh, Vladimir F. In: Papers. RePEc:arx:papers:1707.04149. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document

Recent citations received in 2015

Year	Citing document

Recent citations received in 2014

Year	Citing document

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	26
2	Review of Derivatives Research / Springer	12
3	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	5
4	Applied Mathematical Finance / Taylor & Francis Journals	4
5	Journal of Banking & Finance / Elsevier	4
6	CEPR Discussion Papers / C.E.P.R. Discussion Papers	4
7	European Journal of Operational Research / Elsevier	4
8	Working Papers / HAL	3
9	Journal of Financial Economics / Elsevier	3
10	Finance and Stochastics / Springer	3
11	Quantitative Finance / Taylor & Francis Journals	3

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.