Review of Derivatives Research

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.08 1997 0.21 0 0 0 0.08 1998 0.22 0 0 0 0.1 1999 0.28 0 0 0 0.13 2000 0.37 0 0 0 0.16 2001 0.37 0 0 0 0.16 2002 0.41 0 0 0 0.19 2003 0.42 0 0 0 0.2 2004 0.47 7 26 0 0 2 0.29 0.21 2005 1.14 0.5 0 7 8 0 0.23 2006 0.29 0.51 6 2 7 2 0 0.22 2007 0.4 8 9 6 0 1 0.13 0.18 2008 0.07 0.42 9 2 14 1 100 0.21 2009 0.12 0.43 10 4 17 2 0 0.19
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168 Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (2004).
Cited: 13 times.

(2) RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155 ().
Cited: 11 times.

(3) RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282 ().
Cited: 9 times.

(4) RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128 ().
Cited: 9 times.

(5) RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127 On the Information in the Interest Rate Term Structure and Option Prices (2004).
Cited: 8 times.

(6) RePEc:kap:revdev:v:3:y:1999:i:2:p:157-181 ().
Cited: 5 times.

(7) RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202 ().
Cited: 4 times.

(8) RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262 ().
Cited: 4 times.

(9) RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150 A new approach for option pricing under stochastic volatility (2007).
Cited: 3 times.

(10) RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180 Option pricing when correlations are stochastic: an analytical framework (2007).
Cited: 3 times.

(11) RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97 A Model of the Convenience Yields in On-the-Run Treasuries (2004).
Cited: 3 times.

(12) RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24 Theory of Storage and the Pricing of Commodity Claims (2004).
Cited: 2 times.

(13) RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191 Microstructural biases in empirical tests of option pricing models (2009).
Cited: 2 times.

(14) RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79 Option market making under inventory risk (2009).
Cited: 2 times.

(15) RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204 Distressed debt prices and recovery rate estimation (2008).
Cited: 2 times.

(16) RePEc:kap:revdev:v:10:y:2007:i:1:p:39-58 The valuation of a firm’s investment opportunities: a reduced form credit risk perspective (2007).
Cited: 1 times.

(17) RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267 Discount curve construction with tension splines (2007).
Cited: 1 times.

(18) RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264 Static versus dynamic hedges: an empirical comparison for barrier options (2006).
Cited: 1 times.

(19) RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314 ().
Cited: 1 times.

(20) RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135 Model misspecification analysis for bond options and Markovian hedging strategies (2006).
Cited: 1 times.

(21) RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271 ().
Cited: 1 times.

(22) RePEc:kap:revdev:v:6:y:2003:i:3:p:165-177 ().
Cited: 1 times.

(23) RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85 Modelling jumps in electricity prices: theory and empirical evidence (2007).
Cited: 1 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

Recent citations received in: 2008

Recent citations received in: 2007

(1) RePEc:kap:annfin:v:3:y:2007:i:4:p:411-453 Correlation and the pricing of risks (2007). Annals of Finance

Recent citations received in: 2006

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