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Review of Derivatives Research OnlineFirst articles


The volatility target effect in structured investment products with capital protection

Designing a structured investment product with capital protection which would be characterized by high capital protection level as well as high equity participation rate is a challenging task in the current market environment. Low interest rates …


Risk-adjusted option-implied moments

This paper provides a new way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main theoretical result is a new analytical representation of the expected payoffs of put and …


Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions

In order to solve the problem of optimal discrete hedging of American options, this paper utilizes an integrated approach in which the writer’s decisions (including hedging decisions) and the holder’s decisions are treated on equal footing. From …


Tempered stable structural model in pricing credit spread and credit default swap

In this paper, we explore the features of a structural credit risk model wherein the firm value is driven by normal tempered stable (NTS) process belonging to the larger class of Lévy processes. For the purpose of comparability, the calibration to …


The determinants of CDS spreads: evidence from the model space

We apply Bayesian model averaging and a frequentistic model space analysis to assess the pricing determinants of credit default swaps (CDSs). Our study focuses on the complete model space of plausible models and thus supports ultimate robustness.

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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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