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Review of Derivatives Research OnlineFirst articles


Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints

A new approach is considered to estimate risk-neutral densities (RND) within a kernel regression framework, through local cubic polynomial estimation using intraday data. There is a new strategy for the definition of a criterion function used in …


Option-implied Value-at-Risk and the cross-section of stock returns

Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, we show that option-implied information is priced differently depending on whether it is based on options with strikes close to the current price of the underlying or …


Towards a -Gamma Sato multivariate model

The increased trading in multi-name financial products has paved the way for the use of multivariate models that are at once computationally tractable and flexible enough to mimic the stylized facts of asset log-returns and of their dependence …


Valuation of an option using non-parametric methods

This paper provides a general valuation model to fairly price a European option using parametric and non-parametric methods. In particular, we show how to use the historical simulation (HS) method, a well-known non-parametric statistical method …


Empirical performance of reduced-form models for emission permit prices

The value of emission permits in environmental markets derives from the particular design features of the underlying cap-and-trade system. In this paper, we evaluate a model framework for the price dynamics of emission permits which accounts for …

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About this journal

The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research.

The rapid growth of derivatives research combined with the current absence of a rigorous research journal catering to the area of derivatives, and the long lead-times in the existing academic journals, underlines the need for Review of Derivatives Research, which provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to:
econometric analyses of derivative markets (efficiency, anomalies, performance, etc.)
analysis of swap markets
market microstructure and volatility issues
regulatory and taxation issues
credit risk
new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management)
risk-sharing issues and the design of optimal derivative securities
risk management, management and control
valuation and analysis of the options embedded in capital projects
valuation and hedging of exotic options
new areas for further development (i.e. natural resources, environmental economics.

The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot' issues in the market, small technical pieces, and timely essays related to pending legislation and policy.

Officially cited as: Rev Deriv Res

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