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Springer

Review of Derivatives Research

Contact information of Springer:
Web page: http://www.springerlink.com/link.asp?id=102989

Editor: Gurdip Bakshi
Editor: Dilip Madan
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:kap:revdev

2009, Volume 12, Issue 3

169-191 Microstructural biases in empirical tests of option pricing models
by Patrick Dennis & Stewart Mayhew [Downloadable! (restricted)]
193-211 Auto-static for the people: risk-minimizing hedges of barrier options
by Johannes Siven & Rolf Poulsen [Downloadable! (restricted)]
213-230 A tale of two volatilities
by Dilip Madan [Downloadable! (restricted)]

2009, Volume 12, Issue 2

81-107 A general framework for the derivation of asset price bounds: an application to stochastic volatility option models
by Oleg Bondarenko & Iñaki Longarela [Downloadable! (restricted)]
109-139 The smirk in the S&P500 futures options prices: a linearized factor analysis
by Andrew Carverhill & Terry Cheuk & Sigurd Dyrting [Downloadable! (restricted)]
141-167 Asset pricing under information with stochastic volatility
by Bertram Düring [Downloadable! (restricted)]

2009, Volume 12, Issue 1

1-2 Preface
by Peter Bank & Aleš Černý [Downloadable! (restricted)]
3-27 Quadratic hedging in affine stochastic volatility models
by Jan Kallsen & Richard Vierthauer [Downloadable! (restricted)]
29-53 Dynamic programming and mean-variance hedging with partial execution risk
by Koichi Matsumoto [Downloadable! (restricted)]
55-79 Option market making under inventory risk
by Sasha Stoikov & Mehmet Sağlam [Downloadable! (restricted)]

2008, Volume 11, Issue 3

171-204 Distressed debt prices and recovery rate estimation
by Xin Guo & Robert Jarrow & Haizhi Lin [Downloadable! (restricted)]
205-244 The cross-section of average delta-hedge option returns under stochastic volatility
by Alfredo Ibáñez [Downloadable! (restricted)]
245-276 Leverage, options liabilities, and corporate bond pricing
by Hongming Huang & Yildiray Yildirim [Downloadable! (restricted)]

2008, Volume 11, Issue 1

1-39 Making the best of best-of
by Tristan Guillaume [Downloadable! (restricted)]
41-59 Stock options and managers’ incentives to cheat
by Marc Chesney & Rajna Gibson [Downloadable! (restricted)]
61-81 Testing the martingale restriction for option implied densities
by Thomas Busch [Downloadable! (restricted)]
83-118 Adaptive placement method on pricing arithmetic average options
by Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei [Downloadable! (restricted)]
119-151 On improving the least squares Monte Carlo option valuation method
by Nelson Areal & Artur Rodrigues & Manuel Armada [Downloadable! (restricted)]
153-169 Single name credit default swaptions meet single sided jump models
by Henrik Jönsson & Wim Schoutens [Downloadable! (restricted)]

2007, Volume 10, Issue 3

205-225 A model of discontinuous interest rate behavior, yield curves, and volatility
by Steven Heston [Downloadable! (restricted)]
227-267 Discount curve construction with tension splines
by Leif Andersen [Downloadable! (restricted)]

2007, Volume 10, Issue 2

87-150 A new approach for option pricing under stochastic volatility
by Peter Carr & Jian Sun [Downloadable! (restricted)]
151-180 Option pricing when correlations are stochastic: an analytical framework
by José Fonseca & Martino Grasselli & Claudio Tebaldi [Downloadable! (restricted)]
181-204 Tax liens: a novel application of asset pricing theory
by Robert Jarrow & Vikrant Tyagi [Downloadable! (restricted)]

2007, Volume 10, Issue 1

1-38 Determinants of S&P 500 index option returns
by Charles Cao & Jing-Zhi Huang [Downloadable! (restricted)]
39-58 The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
by R. Jarrow & A. Purnanandam [Downloadable! (restricted)]
59-85 Modelling jumps in electricity prices: theory and empirical evidence
by Jan Seifert & Marliese Uhrig-Homburg [Downloadable! (restricted)]

2006, Volume 9, Issue 3

187-212 Fourier transformation and the pricing of average-rate derivatives
by Nengjiu Ju & Rui Zhong [Downloadable! (restricted)]
213-237 Two-dimensional risk-neutral valuation relationships for the pricing of options
by Guenter Franke & James Huang & Richard Stapleton [Downloadable! (restricted)]
239-264 Static versus dynamic hedges: an empirical comparison for barrier options
by Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner [Downloadable! (restricted)]

2006, Volume 9, Issue 2

109-135 Model misspecification analysis for bond options and Markovian hedging strategies
by Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay [Downloadable! (restricted)]
137-165 Valuation of vulnerable American options with correlated credit risk
by Lung-Fu Chang & Mao-Wei Hung [Downloadable! (restricted)]
167-186 Seasonal and stochastic effects in commodity forward curves
by Svetlana Borovkova & Helyette Geman [Downloadable! (restricted)]

2006, Volume 9, Issue 1

1-35 Calibration and hedging under jump diffusion
by C. He & J. Kennedy & T. Coleman & P. Forsyth & Y. Li & K. Vetzal [Downloadable! (restricted)]
37-65 Price discovery in the U.S. stock and stock options markets: A portfolio approach
by Richard Holowczak & Yusif Simaan & Liuren Wu [Downloadable! (restricted)]
67-105 Valuing reload options
by Jonathan Ingersoll [Downloadable! (restricted)]

2005, Volume 8, Issue 3

129-150 An empirical comparison of GARCH option pricing models
by K. Hsieh & P. Ritchken [Downloadable! (restricted)]
151-175 Stochastic dividend yields and derivatives pricing in complete markets
by Abraham Lioui [Downloadable! (restricted)]
177-198 The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets
by James Doran & Ehud Ronn [Downloadable! (restricted)]

2005, Volume 8, Issue 2

67-83 Options with Constant Underlying Elasticity in Strikes
by Lloyd Blenman & Steven Clark [Downloadable! (restricted)]
85-95 On the Upper Bound of a Call Option
by John Handley [Downloadable! (restricted)]
97-123 Option Prices Under Generalized Pricing Kernels
by Bertram Düring & Erik Lüders [Downloadable! (restricted)]

2005, Volume 8, Issue 1

5-25 A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
by Vicky Henderson & David Hobson & Sam Howison & Tino Kluge [Downloadable! (restricted)]
27-47 A Continuous Time Model to Price Commodity-Based Swing Options
by M. Dahlgren [Downloadable! (restricted)]
49-60 Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
by Mariano Cané de Estrada & Elsa Cortina & Constantino FontÁn & Javier Fiori [Downloadable! (restricted)]

2005, Volume 7, Issue 3

185-212 Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach
by Wolfgang Bühler & Olaf Korn & Rainer Schöbel [Downloadable! (restricted)]
213-239 Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
by Markus Leippold & Zvi Wiener [Downloadable! (restricted)]
241-266 The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests
by Manolis Kavussanos & Ilias Visvikis & David Menachof [Downloadable! (restricted)]

2004, Volume 7, Issue 2

79-97 A Model of the Convenience Yields in On-the-Run Treasuries
by Joseph A. Cherian & Eric Jacquier & Robert A. Jarrow [Downloadable!]
99-127 On the Information in the Interest Rate Term Structure and Option Prices
by Frank de Jong & Joost Driessen & Antoon Pelsser [Downloadable!]
129-168 Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
by Lars Stentoft [Downloadable!]
169-173 Pricing the Risks of Default: A Note on Madan and Unal
by Peter Grundke & Karl O. Riedel [Downloadable!]

2004, Volume 7, Issue 1

5-24 Theory of Storage and the Pricing of Commodity Claims
by Martin J. Nielsen & Eduardo S. Schwartz [Downloadable!]
25-51 Option Pricing Bounds and the Elasticity of the Pricing Kernel
by James Huang [Downloadable!]
53-72 Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing
by Rainer Baule & Marco Wilkens [Downloadable!]

2003, Volume 6, Issue 3

165-177 Impact of Divergent Consumer Confidence on Option Prices
by James Huang [Downloadable! (restricted)]
179-202 The Dynamics of Implied Volatilities: A Common Principal Components Approach
by Matthias Fengler & Wolfgang Härdle & Christophe Villa [Downloadable! (restricted)]
203-230 Price Discovery, Causality and Forecasting in the Freight Futures Market
by Manolis Kavussanos & Nikos Nomikos [Downloadable! (restricted)]

2003, Volume 6, Issue 2

83-106 Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks
by Hoi Wong & Yue Kwok [Downloadable! (restricted)]
107-128 On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
by Manuel Moreno & Javier Navas [Downloadable! (restricted)]
129-155 Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
by Carl Chiarella & Oh Kwon [Downloadable! (restricted)]

2002, Volume 5, Issue 3

213-250 Banks' option to lend, interest rate sensitivity, and credit availability
by Iftekhar Hasan & Sudipto Sarkar [Downloadable! (restricted)]
251-271 Valuation of commodity derivatives in a new multi-factor model
by Xuemin Yan [Downloadable! (restricted)]
273-314 Convergence of numerical methods for valuing path-dependent options using interpolation
by P. Forsyth & K. Vetzal & R. Zvan [Downloadable! (restricted)]

2002, Volume 5, Issue 2

127-151 The pricing of Bermudan-style options on correlated assets
by Sandra Peterson & Richard Stapleton [Downloadable! (restricted)]
153-179 Disagreement and equilibrium option trading volume
by Mark Cassano [Downloadable! (restricted)]
181-203 Efficient, exact algorithms for asian options with multiresolution lattices
by Tian-Shyr Dai & Yuh-Dauh Lyuu [Downloadable! (restricted)]

2000, Volume 4, Issue 3

219-230 Variable Purchase Options
by John Handley [Downloadable! (restricted)]
231-262 Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
by Leif Andersen & Jesper Andreasen [Downloadable! (restricted)]
263-284 Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices
by Gurupdesh Pandher [Downloadable! (restricted)]
285-303 Dividend Forecast Biases in Index Option Valuation
by Don Chance & Raman Kumar & Don Rich [Downloadable! (restricted)]

2000, Volume 4, Issue 2

107-131 Efficient Option Replication in the Presence of Transactions Costs
by Lionel Martellini [Downloadable! (restricted)]
133-154 Dynamic Volatility Trading Strategies in the Currency Option Market
by Dajiang Guo [Downloadable! (restricted)]
155-188 Tighter Option Bounds from Multiple Exercise Prices
by Peter Ryan [Downloadable! (restricted)]
189-211 Effects of Callable Feature on Early Exercise Policy
by Yue Kwok & Lixin Wu [Downloadable! (restricted)]

2000, Volume 3, Issue 3

215-236 Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity?
by Saikat Nandi [Downloadable! (restricted)]
237-262 Interest rate option pricing with volatility humps
by Peter Ritchken & Iyuan Chuang [Downloadable! (restricted)]
263-282 The Dynamics of the S&P 500 Implied Volatility Surface
by George Skiadopoulos & Stewart Hodges & Les Clewlow [Downloadable! (restricted)]
283-307 American option valuation under stochastic interest rates
by San-Lin Chung [Downloadable! (restricted)]

1999, Volume 3, Issue 2

115-133 A universal lattice
by Ren-Raw Chen & Tyler Yang [Downloadable! (restricted)]
135-156 Minimum option prices under decreasing absolute risk aversion
by Kamlesh Mathur & Peter Ritchken [Downloadable! (restricted)]
157-181 Stochastic duration and fast coupon bond option pricing in multi-factor models
by Claus Munk [Downloadable! (restricted)]
183-204 Options on the minimum or the maximum of two average prices
by Xueping Wu & Jin Zhang [Downloadable! (restricted)]

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This page was last updated on 2009-10-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.