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Review of derivatives research. - New York, NY : Kluwer Academic Publishers [New York] : Springer US - Three issues a year - Print began with vol. 1, no. 1 (1996).

(Volume 27, issue 1)
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
• Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
• Pricing levered warrants under the CEV diffusion model
• Martingale defects in the volatility surface and bubble conditions in the underlying
(Volume 26, issue 2-3)
• Implied volatility surfaces: a comprehensive analysis using half a billion option prices
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model

(Volume 26, issue 1)
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
• Pricing vulnerable basket spread options with liquidity risk
• Continuity correction: on the pricing of discrete double barrier options
• Hedging cryptocurrency options



Not published in 1997.


Mode of access: World Wide Web.

ISSN: 1573-7144 = Review of derivatives research (Dordrecht. Online) = Rev. deriv. res. (Dordr., Online)

Source: Kluwer Academic Publishers, Spuiboulevard 50, P.O. Box 17, 3300 AA Dordrecht, The Netherlands

LCCN: 2004233221

Nat. Bib. Agency Control No.: 2004343-0 DE-600

Subjects--Topical Terms:
Derivative securities--Periodicals.
Instruments dérivés (Finances)--Périodiques.
Derivative securities.

Subjects--Index Terms: Futures markets

Index Terms--Genre/Form:
Electronic journals.
Periodicals.
Periodicals.

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.632