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Review of Derivatives Research

Review of Derivatives Research OnlineFirst articles

07.05.2020 Open Access

Option-implied information: What’s the vol surface got to do with it?

We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are …

14.01.2020 Open Access

Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time …


A note on options and bubbles under the CEV model: implications for pricing and hedging

The discounted price process under the constant elasticity of variance (CEV) model is not a martingale (wrt the risk-neutral measure) for options markets with upward sloping implied volatility smiles. The loss of the martingale property implies …


Portfolio construction using bootstrapping neural networks: evidence from global stock market

The study investigates the investment value of global stock markets by a portfolio construction method combined with bootstrapping neural network architecture. A residual sample will be generated from bootstrapping sample procedure and then …


Approaching rainfall-based weather derivatives pricing and operational challenges

This article approaches some of the current rainfall derivatives pricing and operational challenges through an empirical application to Comunidad Valenciana, Spain. Regarding the former, two different issues are addressed. First, we examine the …

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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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