Review of Derivatives Research Journal Impact Factor & Information

Publisher: Springer Verlag

Journal description

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.

Current impact factor: 0.09

Impact Factor Rankings

Additional details

5-year impact 0.00
Cited half-life 9.90
Immediacy index 0.00
Eigenfactor 0.00
Article influence 0.00
Website Review of Derivatives Research website
Other titles Review of derivatives research (Online)
ISSN 1380-6645
OCLC 41977963
Material type Document, Periodical, Internet resource
Document type Internet Resource, Computer File, Journal / Magazine / Newspaper

Publisher details

Springer Verlag

  • Pre-print
    • Author can archive a pre-print version
  • Post-print
    • Author can archive a post-print version
  • Conditions
    • Author's pre-print on pre-print servers such as arXiv.org
    • Author's post-print on author's personal website immediately
    • Author's post-print on any open access repository after 12 months after publication
    • Publisher's version/PDF cannot be used
    • Published source must be acknowledged
    • Must link to publisher version
    • Set phrase to accompany link to published version (see policy)
    • Articles in some journals can be made Open Access on payment of additional charge
  • Classification
    ​ green

Publications in this journal

  • [Show abstract] [Hide abstract]
    ABSTRACT: Prior research argues that pessimistic traders can use options as substitutes for short sales particularly when stocks are expensive to short. Motivated by this contention, we examine the relation between put-call ratios, short-selling activity, and constraints to short selling. Results show that (1) put-call ratios are inversely related, instead of directly related, to proxies for short-sale constraints and (2) the significant negative relation between current put-call ratios and future returns (Pan and Poteshman in Rev Financ Stud 19:871–908, 2006) is orthogonal to proxies for short-sale constraints. These results indicate that short-sale constraints do not influence bearish option activity. While prior studies show that short sellers are generally contrarian in contemporaneous and past returns, we find that put-call ratios follow periods of negative returns. However, any observed return predictability contained in put-call ratios is driven by ratios that follow periods of positive returns.
    Review of Derivatives Research 04/2015; 18(1). DOI:10.1007/s11147-014-9102-3
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    ABSTRACT: Correlated default factors and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence of whether correlated default factors are also present in the underlying CDS market. We develop a cash-flow-based top-down approach for modeling CDSs from which we can derive the following major contributions: (1) Correlated default factors did not matter for CDS prices prior to the financial crisis in 2008. During and after the crisis, however, their importance increased strongly. (2) We observe that correlated default factors primarily impact on the CDS prices of firms with an overall low CDS level. (3) Idiosyncratic risk factors for each single CDS play a major (minor) role when the CDS premia are high (low).
    Review of Derivatives Research 01/2015; DOI:10.1007/s11147-015-9109-4
  • Review of Derivatives Research 10/2014; 17(3):261-286. DOI:10.1007/s11147-014-9098-8
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    ABSTRACT: Access to information is necessary for market transparency. However, contrary to trading volume and open interest, information related to day trading activities is rarely available. By incorporating unexplored day trading volume in the literature, this paper demonstrates that both the expected open interest and expected day trading volume are consistently and positively correlated with returns, but that one-lagged day trading volume is negatively correlated with futures returns. Meanwhile, both expected and unexpected day trading volume are negatively correlated with volatility, suggesting that arbitrage activities related to unexpected day trading volume may accelerate the movement of futures prices to a new equilibrium. Moreover, open interest provides liquidity but increases volatility. Finally, we strongly suggest that day trading transaction information be released by futures exchanges to achieve greater transparency.
    Review of Derivatives Research 07/2014; 17(2):217-239. DOI:10.1007/s11147-014-9096-x
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    ABSTRACT: This paper will demonstrate how European and American option prices can be computed under the jump-diffusion model using the radial basis function (RBF) interpolation scheme. The RBF interpolation scheme is demonstrated by solving an option pricing formula, a one-dimensional partial integro-differential equation (PIDE). We select the cubic spline radial basis function and adopt a simple numerical algorithm (Briani et al. in Calcolo 44:33–57, 2007) to establish a finite computational range for the improper integral of the PIDE. This algorithm reduces the truncation error of approximating the improper integral. As a result, we are able to achieve a higher approximation accuracy of the integral with the application of any quadrature. Moreover, we a numerical technique termed cubic spline factorisation (Bos and Salkauskas in J Approx Theory 51:81–88, 1987) to solve the inversion of an ill-conditioned RBF interpolant, which is a well-known research problem in the RBF field. Finally, our numerical experiments show that in the European case, our RBF-interpolation solution is second-order accurate for spatial variables, while in the American case, it is second-order accurate for spatial variables and first-order accurate for time variables.
    Review of Derivatives Research 07/2014; 17(2). DOI:10.1007/s11147-013-9095-3
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    ABSTRACT: The game option, which is also known as Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the path-dependent game option where the payoff of the option depends on the maximum or minimum asset price over the life of the option (i.e., the game option with the lookback feature). We obtain the explicit pricing formula for the perpetual case and provide the integral expression of pricing formula under the finite horizon case. In addition, we derive optimal exercise strategies and continuation regions of options in both floating and fixed strike cases.
    Review of Derivatives Research 01/2014; DOI:10.1007/s11147-013-9092-6
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    ABSTRACT: This study extends the GARCH pricing tree in Ritchken and Trevor (J Financ 54:366–402, 1999) by incorporating an additional jump process to develop a lattice model to value options. The GARCH-jump model can capture the behavior of asset prices more appropriately given its consistency with abundant empirical findings that discontinuities in the sample path of financial asset prices still being found even allowing for autoregressive conditional heteroskedasticity. With our lattice model, it shows that both the GARCH and jump effects in the GARCH-jump model are negative for near-the-money options, while positive for in-the-money and out-of-the-money options. In addition, even when the GARCH model is considered, the jump process impedes the early exercise and thus reduces the percentage of the early exercise premium of American options, particularly for shorter-term horizons. Moreover, the interaction between the GARCH and jump processes can raise the percentage proportions of the early exercise premiums for shorter-term horizons, whereas this effect weakens when the time to maturity increases.
    Review of Derivatives Research 10/2013; 16(3). DOI:10.1007/s11147-012-9087-8
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    ABSTRACT: We derive closed form European option pricing formulae under the general equilibrium framework for underlying assets that have an \(N\) -mixture of transformed normal distributions. The component distributions need not belong to the same class but must all be transformed normal. An important implication of our results is that the mixture of distributions is consistent with a “what appears to be abnormal” non-monotonic (asset specific) pricing kernel for the S&P 500 and that the representative agent has a “logical” monotonic decreasing marginal utility. We show that a mixture of two lognormal distributions is sufficient to produce this result and also implied volatility smiles of a wide variety of shapes.
    Review of Derivatives Research 07/2013; 17(2):241-259. DOI:10.1007/s11147-013-9093-5
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    ABSTRACT: The potential influence of accounting regulations on hedging strategies and the use of financial derivatives is a research topic that has attracted little attention in both the finance and the accounting literature. However, recent surveys suggest that company hedging can be substantially influenced by the accounting for financial instruments. In this study, we illustrate not only why but also how the accounting regulations may affect hedging behavior. We find that under mark-to-market accounting, most firms concerned with earnings smoothness adopt myopic hedging strategies relative to the benchmark, cash flow hedging. The specific influence of the accounting regulations depends on market and firm-specific characteristics, but, in general, the firms dramatically reduce the extent of hedging addressing price risk in future accounting periods. We illustrate that the change in hedging behavior significantly dampens the increase in earnings volatility stemming from fair value accounting of derivatives. However, the adjusted hedging strategies may substantially increase the firms’ cash flow volatility.
    Review of Derivatives Research 01/2013; 16(2). DOI:10.1007/s11147-012-9084-y
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    ABSTRACT: This paper discusses various extensions and implementation aspects of the primal-dual algorithm of Andersen and Broadie for the pricing of Bermudan options. The main emphasis is on a generalization of the dual lower and upper bounds to the case of mixed buyer and seller exercise, along with a detailed analysis of the sharpness of the bounds. As it turns out, the method as well as the convergence analysis can even be extended to conditional exercise rights and autotrigger strategies. These theoretical results are accompanied by a detailed description of the algorithmic implementation, including a robust regression method and the choice of suitable basis functions. Detailed numerical examples show that the algorithm leads to surprisingly tight bounds even for the case of high-dimensional callable Bermudan pricing problems.
    Review of Derivatives Research 01/2013; 16(1). DOI:10.1007/s11147-012-9078-9
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    ABSTRACT: This study examines the spillover effects in international financial markets with respect to implied volatility indices. The use of the latter as the basis of integration analysis means that we test market participants’ expectations and not the actual price fluctuations. The empirical analysis, which includes all publicly available implied volatility indices, employs the dynamic conditional correlation model of Engle (2002) and its findings suggest that there is significant integration of investors’ expectations about future uncertainty. Furthermore, by accounting for the dynamic volatility of implied volatility inter-dependencies, we are able to reveal possible shifts in conditional correlations of market expectations over time. More specifically, our findings show a slight increase in the conditional correlations for all the volatility indices under review over the years and prove that in periods of turbulence in the financial markets the conditional correlations across implied volatility indices increase.
    Review of Derivatives Research 01/2013; 16(3). DOI:10.1007/s11147-012-9085-x
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    ABSTRACT: This paper proposes a way to quantify expected profits and risk to model based trading strategies. A positive portfolio weight is assigned to assets which market prices exceed the price of a theoretical asset pricing model. The position is smaller, ceteris paribus, if the theoretical asset price is sensitive to model parameters subject to estimation uncertainty. Standard mean-variance analysis is used to construct optimal model based portfolio weights. In essence, these portfolio rules allow estimation risk, as well as price risk to be approximately hedged. The strategy is applied to S&P 500 index options. The model based hedging strategy generate Sharpe ratios close to one -twice that of simply writing options. The difference is still only marginally statistically significant.. I wish to thank Tim Bollerslev and George Tauchen, as well as seminar participants in the Duke Financial Econometrics workshop, for helpful comments. The usual disclaimer applies.
    Review of Derivatives Research 01/2013; 16(1). DOI:10.1007/s11147-012-9079-8
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    ABSTRACT: This paper concerns barrier options of American type where the underlying asset price is monitored for barrier hits during a part of the option’s lifetime. Analytic valuation formulas of the American partial barrier options are provided as the finite sum of bivariate normal distribution functions. This approximation method is based on barrier options along with constant early exercise policies. In addition, numerical results are given to show the accuracy of the approximating price. Our explicit formulas provide a very tight lower bound for the option values, and moreover, this method is superior in speed and its simplicity.
    Review of Derivatives Research 01/2013; 16(2). DOI:10.1007/s11147-012-9081-1
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    ABSTRACT: Arbitrage-free pricing of American options on bonds in one-factor dynamic term structure models is investigated. We re-derive a general decomposition result which states that the American bond option premium can be split into the value of an otherwise equivalent European option and an early exercise premium. This extends earlier work on American equity options by e.g. Kim (1990), Jamshidian (1992) and Carr, Jarrow, and Myneni (1992) and parallels recent work by Jamshidian (1991, 1992, 1993) and Chesney, Elliott, and Gibson (1993). We examine a Gaussian class of special cases in some detail and provide a variety of numerical valuation results.
    Review of Derivatives Research 12/2012; DOI:10.1007/BF01531144
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    ABSTRACT: This paper estimates the impact of the Federal Reserve’s 2008-2011 quantitative easing (QE) program on the U.S. term structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed’s trades on Treasury market prices. As such, we are able to estimate both the magnitude and duration of the QE price effects. We show that the Fed’s QE program affected forward rates without introducing arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve years), but the QE had little if any impact on long-term forward rates. This is in contrast to the Fed’s stated intentions for the QE program. The duration of the rate impacts increased with maturity up to 7 years then declined, with half-lives lasting approximately 4, 5, 19, 11 and 6 months for the 1, 2, 5, 10 and 12 year forwards, respectively. Since bond yields are averages of forward rates over a bond’s maturity, QE affected long-term bond yields. The average impacts on bond yields were 372, 32, 55, 73, and 79 basis points for 1, 2, 5, 10 and 30 years, respectively. These yield impacts are consistent with those estimated in the existing literature, except for the 1-year rate. Our 1-year yield change is significantly greater than that in the existing literature.
    Review of Derivatives Research 11/2012; 17(3). DOI:10.2139/ssrn.2026182