Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Review of Derivatives Research / Springer

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.09000000.04
19910.09000000.04
19920.09000000.04
19930.1000000.05
19940.11000000.05
19950.2000000.08
19960.24000000.1
19970.3000000.11
19980.29000000.11
19990.344420.58000.15
20000.250.42121610.06384100.16
20010.4416001600.17
20020.4562230.14131200.2
20030.4762880.29636030.50.2
20040.670.53735140.442128020.290.22
20051.230.561247250.532113166.310.080.23
20060.160.55956200.36719300.22
20070.10.47864180.2861212010.130.19
20080.180.5973240.33617333.30.21
20090.180.511083240.291417300.21
20100.160.471295210.221719300.17
20110.180.5514109250.231022400.22
20120.380.6710119410.342261000.26
20130.250.9212131480.376246020.170.34
20140.230.689140290.21022500.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
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
%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

 

Most cited documents in this series:

YearTitleCited
2007Option pricing when correlations are stochastic: an analytical framework. (2007). DA FONSECA, José ; Tebaldi, Claudio ; Grasselli, Martino . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180.

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25
2003The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang ; Villa, Christophe . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202.

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23
2004Assessing 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.

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18
2007A 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.

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18
2000The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Skiadopoulos, George ; Hodges, Stewart ; Clewlow, Les . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282.

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17
2003On 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.

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17
2003Finite 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.

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15
2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andersen, Leif ; Andreasen, Jesper. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262.

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13
2004On 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.

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13
2005An 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.

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11
2007Modelling 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.

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11
2010Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case. (2010). Itkin, Andrey ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176.

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9
2002Valuation 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.

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7
2004Theory 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.

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7
1999Stochastic 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.

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7
2002Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Forsyth, P. ; Zvan, R. ; Vetzal, K.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314.

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6
2003Price 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.

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5
2007The valuation of a firm’s 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.

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4
2009Option 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.

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4
2009Microstructural 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.

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4
2008Distressed 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.

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4
2000Dynamic 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.

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4
2007Discount 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.

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3
2009Quadratic 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.

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3
2011Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83.

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3
2005The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). Kavussanos, Manolis ; Visvikis, Ilias ; Menachof, David . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266.

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3
2000Tighter 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.

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3
2005Option Prices Under Generalized Pricing Kernels. (2005). Düring, Bertram ; During, Bertram ; Luders, Erik . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:2:p:97-123.

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3
2004A 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.

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3
2010A 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.

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3
2010Pricing distressed CDOs with stochastic recovery. (2010). Zagst, Rudi ; STEPHAN HÖCHT, ; Hocht, Stephan . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244.

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2
2006Calibration and hedging under jump diffusion. (2006). Kennedy, J. ; Vetzal, K. ; Li, Y. ; He, C. ; Forsyth, P. ; Coleman, T.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35.

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2
2011Corporate 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.

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2
2013Dynamic 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.

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2
2006Static 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.

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2
2005The 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.

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2
2003Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks. (2003). Wong, Hoi ; Kwok, Yue . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:83-106.

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2
2013Capital adequacy rules, catastrophic firm failure, and systemic risk. (2013). Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:219-231.

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2
2011Modelling default contagion using multivariate phase-type distributions. (2011). Herbertsson, Alexander . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:1-36.

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2
2006Seasonal 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.

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2
1999Minimum option prices under decreasing absolute risk aversion. (1999). Mathur, Kamlesh ; Ritchken, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:1999:i:2:p:135-156.

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1
2012Option pricing and hedging under a stochastic volatility Lévy process model. (2012). Fabozzi, Frank ; Lin, Zuodong ; Kim, Young ; Rachev, Svetlozar . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:81-97.

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1
2000Efficient Option Replication in the Presence of Transactions Costs. (2000). Martellini, Lionel. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:107-131.

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1
2009Auto-static for the people: risk-minimizing hedges of barrier options. (2009). Siven, Johannes ; Poulsen, Rolf . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:193-211.

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1
2003Impact of Divergent Consumer Confidence on Option Prices. (2003). Huang, James . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:165-177.

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1
2005A Continuous Time Model to Price Commodity-Based Swing Options. (2005). Dahlgren, M.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:27-47.

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1
2012Calibration 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.

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1
2006Two-dimensional risk-neutral valuation relationships for the pricing of options. (2006). Franke, Günter ; Huang, James ; Stapleton, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:213-237.

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1
2008Leverage, options liabilities, and corporate bond pricing. (2008). Huang, Hongming ; Yildirim, Yildiray . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:245-276.

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1
2010An empirical analysis of alternative recovery risk models and implied recovery rates. (2010). Zhang, Frank . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:101-124.

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1

Citing documents used to compute impact factor 5:

YearTitleSee
2014[Citation Analysis]
2014Bank Leverage, Financial Fragility and Prudential Regulation. (2014). Nasica, Eric ; CARTAPANIS, Andre ; Bruno, Olivier. In: GREDEG Working Papers. RePEc:gre:wpaper:2014-12.

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[Citation Analysis]
2014Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). Ferrara, Laurent ; Darné, Olivier ; Charles, Amelie . In: Working Papers. RePEc:hal:wpaper:hal-00952951.

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[Citation Analysis]
2014Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). Ferrara, Laurent ; Darné, Olivier ; CHARLES, Amelie. In: EconomiX Working Papers. RePEc:drm:wpaper:2014-21.

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[Citation Analysis]
2014Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Bianchi, Michele Leonardo ; Rachev, Svetlozar T. ; Fabozzi, Frank J.. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_944_14.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

YearTitleSee
2013On the characteristic function for asymmetric Student t distributions. (2013). Nadarajah, Saralees ; Afuecheta, Emmanuel ; Chan, Stephen . In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:2:p:271-274.

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[Citation Analysis]
2013Measuring capital adequacy supervisory stress tests in a Basel world. (2013). Wall, Larry. In: Working Paper. RePEc:fip:fedawp:2013-15.

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[Citation Analysis]

Recent citations received in: 2012

YearTitleSee

Recent citations received in: 2011

YearTitleSee

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.