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Review of Derivatives Research OnlineFirst articles


A multivariate stochastic volatility model with applications in the foreign exchange market

The main objective of this paper is to study the behavior of a daily calibration of a multivariate stochastic volatility model, namely the principal component stochastic volatility (PCSV) model, to market data of plain vanilla options on foreign …


The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk

We analyze the benefit to the insured of newly traded, innovative life insurance contracts. On a sequence of yearly reference days, the insured can choose between a guaranteed return (linked to the insurer’s asset result) and a capped index …


Pricing double barrier options under a volatility regime-switching model with psychological barriers

The prices of lots of assets have been proved in literature to exhibit special behaviors around psychological barriers, which is an important fact needed to be considered when pricing derivatives. In this paper, we discuss the valuation problem of …


Profitability patterns in the interest rate derivatives market

This study identifies profitability patterns and their determinants in the global interest rate derivatives market. Although this market is the world’s largest financial market in terms of nominal value, there has been basically no academic …


A unified approach for the pricing of options relating to averages

In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is …

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Über diese Zeitschrift

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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