Citation analysis for Review of Derivatives Research / Springer

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.37

5 Years IF

0.38

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1995	0	0.19	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.1
1997	0	0.22	0	0	0	0	0		0	0		0			0		0	0.09
1998	0	0.26	0	0	0	0	0		0	0		0			0		0	0.12
1999	0	0.28	0.5	0	4	4	15		2	0		0			0		0	0.14
2000	0.25	0.33	0.06	0.25	12	16	84	1	3	4	1	4	1		0		0	0.15
2001	0	0.36	0	0	0	16	0		3	16		16			0		0	0.15
2002	0	0.39	0.09	0	6	22	34		5	12		16			0		0	0.21
2003	0	0.4	0.25	0.18	6	28	133	7	12	6		22	4		0	3	0.5	0.2
2004	1.08	0.45	0.54	0.57	7	35	82	19	31	12	13	28	16		0	2	0.29	0.2
2005	1.23	0.46	0.64	0.74	12	47	55	29	61	13	16	31	23	3	10.3		0	0.22
2006	0.26	0.46	0.39	0.42	9	56	38	21	83	19	5	31	13	3	14.3		0	0.21
2007	0.05	0.42	0.31	0.35	8	64	156	20	103	21	1	40	14		0	1	0.13	0.18
2008	0.24	0.44	0.38	0.43	9	73	17	28	131	17	4	42	18	4	14.3		0	0.21
2009	0.35	0.44	0.42	0.44	10	83	40	35	166	17	6	45	20	2	5.7		0	0.21
2010	0.16	0.43	0.29	0.19	12	95	52	28	194	19	3	48	9	3	10.7		0	0.18
2011	0.32	0.46	0.38	0.35	14	109	38	41	235	22	7	48	17	5	12.2		0	0.21
2012	0.42	0.47	0.36	0.45	10	119	22	43	278	26	11	53	24		0		0	0.19
2013	0.33	0.53	0.53	0.44	12	131	42	69	347	24	8	55	24	4	5.8	2	0.17	0.22
2014	0.59	0.55	0.57	0.45	12	143	28	81	428	22	13	58	26	6	7.4		0	0.22
2015	0.21	0.56	0.46	0.28	12	155	11	71	499	24	5	60	17	7	9.9		0	0.21
2016	0.58	0.58	0.66	0.57	9	164	5	107	607	24	14	60	34	6	5.6		0	0.2
2017	0.05	0.6	0.59	0.33	10	174	7	103	710	21	1	55	18	5	4.9	1	0.1	0.22
2018	0.37	0.76	0.46	0.38	12	186	2	85	795	19	7	55	21	7	8.2	1	0.08	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations 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

50 most cited documents in this series

#	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	59
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	54
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	53
4	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	36
5	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	36
6	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	36
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	34
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	29
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	26
10	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	23
11	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	22
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	21
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	19
14	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	15
15	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	15
16	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	14
17	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
18	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	14
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	14
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	12
21	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	12
22	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
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	11
24	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	11
25	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
26		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
27	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	9
28	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	9
29	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	9
30	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	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	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
33	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	7
34	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
35	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	6
36	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	6
37	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	6
38	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
39	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
40	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	5
41	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
42	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	5
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	5
44	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
45	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
46	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
47	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
48	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	4
49	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	4
50	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	4

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	24
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	16
3	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	15
4	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	10
5	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	8
6	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	7
7	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	7
8	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
9	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	6
10	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	6
11	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	5
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	5
13	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
14	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	5
15	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	5
16	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	5
17	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	5
18	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
19	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
20	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	4
21	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	4
22	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	4
23	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	4
24	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	4
25	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	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	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
28	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	3
29	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	3
30	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	3
31	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
32	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
33	2015	Commodity derivative valuation under a factor model with time-varying market prices of risk. (2015). Mirantes, Andres ; Poblacion, Javier ; Serna, Gregorio. In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:1:p:75-93. Full description at Econpapers \|\| Download paper	2
34	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	2
35	2014	Efficiently pricing double barrier derivatives in stochastic volatility models. (2014). Escobar Anel, Marcos ; Hieber, Peter ; Scherer, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:191-216. Full description at Econpapers \|\| Download paper	2
36	2009	A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Longarela, Iaki ; Bondarenko, Oleg. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107. Full description at Econpapers \|\| Download paper	2
37	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
38	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
39	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
40	2006	Valuation of vulnerable American options with correlated credit risk. (2006). Chang, Lung-Fu ; Hung, Mao-Wei. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:137-165. Full description at Econpapers \|\| Download paper	2
41	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
42	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	2
43	2018	The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6. Full description at Econpapers \|\| Download paper	2
44	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
45	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	2
46	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
47	2017	On the multiplicity of option prices under CEV with positive elasticity of variance. (2017). Veestraeten, Dirk . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9122-2. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 7

Year	Title
2018	An analytical approximation for single barrier options under stochastic volatility models. (2018). Funahashi, Hideharu ; Higuchi, Tomohide. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2559-3. Full description at Econpapers \|\| Download paper
2018	Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Villena, Marcelo ; Araneda, Axel A. In: Papers. RePEc:arx:papers:1803.10376. Full description at Econpapers \|\| Download paper
2018	An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329. Full description at Econpapers \|\| Download paper
2018	Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Reisinger, Christoph ; Kaushansky, Vadim ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1808.05311. Full description at Econpapers \|\| Download paper
2018	Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers \|\| Download paper
2018	On risk measuring in the variance-gamma model. (2018). Roman, Ivanov . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2. Full description at Econpapers \|\| Download paper
2018	A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:58-:d:147258. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Asymptotics for Greeks under the constant elasticity of variance model. (2017). Zalmezh, Vladimir F ; Kritski, Oleg L. 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	51	92
2	Review of Derivatives Research / Springer	15	32
3	European Journal of Operational Research / Elsevier	87	22
4	Journal of Banking & Finance / Elsevier	130	20
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	13	19
6	Quantitative Finance / Taylor & Francis Journals	43	16
7	International Journal of Financial Engineering (IJFE) / World Scientific Publishing Co. Pte. Ltd.	5	12
8	Computational Economics / Springer	25	10
9	Energy Economics / Elsevier	115	10
10	Insurance: Mathematics and Economics / Elsevier	43	10
11	Transportation Research Part E: Logistics and Transportation Review / Elsevier	40	9