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Review of Derivatives Research

中文名称：衍生物研究综述

ISSN：1380-6645
出版周期：3 times a year

发文量：69

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1.The valuation of a firm’s investment opportunities: a reduced form credit risk perspective

机译：公司投资机会的估值：简化的信用风险视角
- 作者：R. Jarrow;A. Purnanandam
- 期刊名称：《Review of Derivatives Research》 | 2007年第1期
- Present value;
- Credit risk;
- Reduced form models;
2.Determinants of S&P 500 index option returns

机译：标普500指数期权收益的决定因素
- 作者：Charles Cao;Jing-Zhi Huang
- 期刊名称：《Review of Derivatives Research》 | 2007年第1期
- Option returns;
- Factor analysis;
- Option implied volatility;
- Equally weighted option index;
- Mean–variance spanning;
3.Modelling jumps in electricity prices: theory and empirical evidence

机译：电价跳跃模型：理论和经验证据
- 作者：Jan Seifert;Marliese Uhrig-Homburg
- 期刊名称：《Review of Derivatives Research》 | 2007年第1期
- Electricity prices;
- Jump diffusion;
- Derivatives pricing;
- Model risk;
4.A new approach for option pricing under stochastic volatility

机译：随机波动下的期权定价新方法
- 作者：Peter Carr;Jian Sun
- 期刊名称：《Review of Derivatives Research》 | 2007年第2期
- Option pricing;
- Stochastic volatility;
5.Tax liens: a novel application of asset pricing theory

机译：税收留置权：资产定价理论的新应用
- 作者：Robert A. Jarrow;Vikrant Tyagi
- 期刊名称：《Review of Derivatives Research》 | 2007年第2期
- Option pricing;
- Tax liens;
6.Option pricing when correlations are stochastic: an analytical framework

机译：相关随机的期权定价：一个分析框架
- 作者：José Da Fonseca;Martino Grasselli;Claudio Tebaldi
- 期刊名称：《Review of Derivatives Research》 | 2007年第2期
- Wishart processes;
- Best;
- of basket option;
- Stochastic correlation;
- FFT;
7.A model of discontinuous interest rate behavior, yield curves, and volatility

机译：不连续的利率行为，收益率曲线和波动率模型
- 作者：Steven L. Heston
- 期刊名称：《Review of Derivatives Research》 | 2007年第3期
- Interest rates;
- Yield curve;
- Levy process;
8.Discount curve construction with tension splines

机译：带有张力样条的折扣曲线构造
- 作者：Leif Andersen
- 期刊名称：《Review of Derivatives Research》 | 2007年第3期
- Discount curves;
- Hyperbolic tension splines;
- Bond pricing;
- Swap pricing;
- Perturbation locality;
- Optimality;
9.The determinants of CDS spreads: evidence from the model space

机译：CDS传播的决定因素：来自模型空间的证据
- 作者：Pelster Matthias;Vilsmeier Johannes
- 期刊名称：《Review of Derivatives Research》 | 2018年第1期
- CDS;
- Bayesian model averaging;
- Crash aversion;
- Tail risk;
- Tail dependence;
- Time-varying copulas;
10.Did crisis alter trading of two major oil futures markets?

机译：危机是否改变了两个主要石油期货市场的交易？
- 作者：Adeinat Iman;Al Rahahleh Naseem;Wei Peihwang
- 期刊名称：《Review of Derivatives Research》 | 2018年第1期
- Financial crisis;
- Oil futures;
- Price discovery;
- Trading characteristics;
11.Tempered stable structural model in pricing credit spread and credit default swap

机译：定价信用利差和信用违约掉期的稳定结构模型
- 作者：Kim Sung Ik;Kim Young Shin
- 期刊名称：《Review of Derivatives Research》 | 2018年第1期
- Normal tempered stable process;
- Structural model;
- Credit risk;
- Credit derivatives;
12.A multivariate stochastic volatility model with applications in the foreign exchange market

机译：多元随机波动率模型及其在外汇市场中的应用
- 作者：Escobar Marcos;Gschnaidtner Christoph
- 期刊名称：《Review of Derivatives Research》 | 2018年第1期
- Stochastic volatility models;
- Multivariate models;
- PCSV model;
- FX options;
- Calibration;
- Triangular relation;
13.The volatility target effect in structured investment products with capital protection

机译：具有资本保护的结构性投资产品的波动性目标效应
- 作者：Albeverio Sergio;Steblovskaya Victoria;Wallbaum Kai
- 期刊名称：《Review of Derivatives Research》 | 2018年第2期
14.Pricing exotic options in a regime switching economy: a Fourier transform method

机译：在政权转换经济中对异国期权定价：傅里叶变换法
- 作者：Hieber Peter
- 期刊名称：《Review of Derivatives Research》 | 2018年第2期
- Regime switching;
- Markov switching;
- Wiener-Hopf factorization;
- Option pricing;
15.Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions

机译：使用综合方法对具有复杂嵌入式决策的期权进行美式期权的最优离散对冲
- 作者：Gerer Johannes;Dorfleitner Gregor
- 期刊名称：《Review of Derivatives Research》 | 2018年第2期
- Transaction costs;
- Early exercise;
- Discrete hedging;
- American option;
- Embedded decisions;
- Good-deal bounds;
16.Risk-adjusted option-implied moments

机译：风险调整的期权隐含时刻
- 作者：Brinkmann Felix;Korn Olaf
- 期刊名称：《Review of Derivatives Research》 | 2018年第2期
- Option-implied moments;
- Risk adjustment;
- Disappointment aversion;
- Implied preferences;
17.A bias in the volatility smile

机译：波动性微笑中的偏见
- 作者：Chance Don M.;Hanson Thomas A.;Li Weiping;Muthuswamy Jayaram
- 期刊名称：《Review of Derivatives Research》 | 2017年第1期
- Black-Scholes-Merton model;
- Option pricing;
- Implied volatility;
- Volatility;
- Volatility smile;
- Computational finance;
- Algorithmic finance;
- Options;
18.On the multiplicity of option prices under CEV with positive elasticity of variance

机译：CEV下具有正方差弹性的期权价格的多重性
- 作者：Veestraeten Dirk
- 期刊名称：《Review of Derivatives Research》 | 2017年第1期
- Bubbles;
- Constant elasticity of variance;
- Option pricing;
- Put-call parity;
- Risk-neutral valuation;
19.Structural default model with mutual obligations

机译：具有共同义务的结构性违约模型
- 作者：Itkin Andrey;Lipton Alexander
- 期刊名称：《Review of Derivatives Research》 | 2017年第1期
20.Rainbow trend options: valuation and applications

机译：Rainbow趋势选项：估值和应用
- 作者：Wang Jr-Yan;Wang Hsiao-Chuan;Ko Yi-Chen;Hung Mao-Wei
- 期刊名称：《Review of Derivatives Research》 | 2017年第2期
- Rainbow option;
- Trend option;
- Timing risk;
- Asset selection;
- Martingale pricing method;
21.A four-factor stochastic volatility model of commodity prices

机译：商品价格的四因素随机波动率模型
- 作者：Schoene Max F.;Spinler Stefan
- 期刊名称：《Review of Derivatives Research》 | 2017年第2期
- Asset pricing;
- Commodity markets;
- Commodity derivatives;
- Derivatives pricing;
- Asset price process;
- Commodity risk management;
22.Implied volatility and skewness surface

机译：隐含波动率和偏度表面
- 作者：Feunou Bruno;Fontaine Jean-Sebastien;Tedongap Romeo
- 期刊名称：《Review of Derivatives Research》 | 2017年第2期
- SP500 options;
- Implied skewness;
- Implied volatility;
- Volatility spread;
- Delta-hedged gains;
23.The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk

机译：当股票价格具有跳跃风险时，具有上限指数参与的人寿保险合同的收益
- 作者：Mahayni Antje;Muck Matthias
- 期刊名称：《Review of Derivatives Research》 | 2017年第3期
- Derivatives;
- Life insurance;
- Interest rate guarantees;
- Capped index participation;
- Monthly sum cap;
- Select products;
24.Pricing double barrier options under a volatility regime-switching model with psychological barriers

机译：具有心理障碍的波动率制度转换模型下的双重障碍期权定价
- 作者：Song Shiyu;Wang Yongjin
- 期刊名称：《Review of Derivatives Research》 | 2017年第3期
- Double barrier option;
- Psychological barrier;
- Regime switching;
- Laplace transform;
- Delta;
- Eigenfunction expansion;
25.Profitability patterns in the interest rate derivatives market

机译：利率衍生品市场的盈利模式
- 作者：Meyer Ralf
- 期刊名称：《Review of Derivatives Research》 | 2017年第3期
- Interest rate derivatives;
- Derivatives;
- OTC markets;
- Market efficiency;
- Profitability;
- Counterparty;
26.A unified approach for the pricing of options relating to averages

机译：均价相关期权定价的统一方法
- 作者：Funahashi Hideharu;Kijima Masaaki
- 期刊名称：《Review of Derivatives Research》 | 2017年第3期
- Generalized Asian option;
- Floating strike;
- Fixed strike;
- Discretely sampled;
- Continuously sampled;
- Forward-starting;
- In-progress;
- Australian-Asian option;
27.Valuation of asset and volatility derivatives using decoupled time-changed Levy processes

机译：使用解耦的时变Levy流程对资产和波动率衍生工具进行估值
- 作者：Torricelli Lorenzo
- 期刊名称：《Review of Derivatives Research》 | 2016年第1期
- Derivative pricing;
- Time changes;
- Levy processes;
- Joint asset and volatility derivatives;
- Target volatility option;
- Wishart process;
28.Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

机译：带有交易对手风险的上限和下限的信用估值调整：针对脆弱的欧洲期权的结构性定价模型
- 作者：Kao Lie-Jane
- 期刊名称：《Review of Derivatives Research》 | 2016年第1期
- Structural pricing model;
- Credit value adjustment (CVA);
- Cap;
- Floor;
- Basel III;
- Vulnerable European options;
- Reduced-form model;
29.Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

机译：从欧洲期权在同等权重的篮子中获得的信息是否足以确定异类衍生产品（如最差期权）的价格？
- 作者：Marabel Romo Jacinto
- 期刊名称：《Review of Derivatives Research》 | 2016年第1期
- Stochastic correlation;
- Stochastic volatility;
- Multifactor;
- Worst-of options;
- Outperformance options;
- Equally weighted basket options;
30.Minimum return guarantees, investment caps, and investment flexibility

机译：最低回报保证，投资上限和投资灵活性
- 作者：Mahayni Antje;Schneider Judith C.
- 期刊名称：《Review of Derivatives Research》 | 2016年第2期
- Minimum return guarantees;
- Investment caps;
- Investment flexibility;
- Pareto efficient contract design;
31.Migrate or not? The effects of regulation SHO on options trading activities

机译：迁移与否？监管SHO对期权交易活动的影响
- 作者：Li Yubin;Zhao Chen;Zhong Zhaodong
- 期刊名称：《Review of Derivatives Research》 | 2016年第2期
- Short-sale constraints;
- Regulation SHO;
- Short selling;
- Options trading volume;
32.Option pricing model with sentiment

机译：具有情感的期权定价模型
- 作者：Yang Chunpeng;Gao Bin;Yang Jianlei
- 期刊名称：《Review of Derivatives Research》 | 2016年第2期
- Stock sentiment;
- Option sentiment;
- Option pricing model;
- Option price bubbles;
- Option volatility smile;
33.The leverage effect puzzle: the case of European sovereign credit default swap market

机译：杠杆效应之谜：欧洲主权信用违约掉期市场案例
- 作者：Kliber Agata
- 期刊名称：《Review of Derivatives Research》 | 2016年第3期
- Credit default swap;
- Emerging markets;
- Leverage effect;
- Stochastic volatility;
34.Stochastic covariance and dimension reduction in the pricing of basket options

机译：一揽子期权定价中的随机协方差和降维
- 作者：Escobar Marcos;Krause Daniel;Zagst Rudi
- 期刊名称：《Review of Derivatives Research》 | 2016年第3期
- Principal components;
- Basket options;
- Stochastic covariance;
35.On exact pricing of FX options in multivariate time-changed L,vy models

机译：关于多元时变L，vy模型中FX期权的精确定价
- 作者：Ivanov Roman V.;Ano Katsunori
- 期刊名称：《Review of Derivatives Research》 | 2016年第3期
36.On pricing options with stressed-beta in a reduced form model

机译：关于简化版模型中带有压力beta的定价选项
- 作者：Kim Geonwoo;Lim Hyuncheul;Lee Sungchul
- 期刊名称：《Review of Derivatives Research》 | 2015年第1期
- Two-state beta;
- Option pricing;
- European options;
- American options;
- Quadratures;
- Calibration;
37.Are put-call ratios a substitute for short sales?

机译：卖权比可以代替卖空吗？
- 作者：Blau Benjamin M.;Brough Tyler J.
- 期刊名称：《Review of Derivatives Research》 | 2015年第1期
- Options;
- Short sales;
- Short sale constraints;
- Informed trading;
38.Market making and risk management in options markets

机译：期权市场的做市和风险管理
- 作者：Boyd Naomi E.
- 期刊名称：《Review of Derivatives Research》 | 2015年第1期
- Options;
- Market making;
- Risk;
- Hedging;
39.The valuation of forward-start rainbow options (vol 18, pg 145, 2015)

机译：前期彩虹期权的估值（2015年第18卷，第145页）
- 作者：Chen Chun-Ying;Wang Hsiao-Chuan;Wang Jr-Yan
- 期刊名称：《Review of Derivatives Research》 | 2015年第2期
40.Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads-an explanation by means of a quanto option

机译：一目了然的定价异常：同一借款人使用不同的货币面临不同的信用利差-通过量化期权进行解释
- 作者：Rathgeber Andreas W.;Rudolph David;Stoeckl Stefan
- 期刊名称：《Review of Derivatives Research》 | 2015年第2期
41.The valuation and information content of options on crude-oil futures contracts

机译：原油期货合约期权的估值和信息内容
- 作者：Murphy Finbarr;Ronn Ehud I.
- 期刊名称：《Review of Derivatives Research》 | 2015年第2期
- Crude-oil futures and options;
- Informational content of derivative securities;
42.The valuation of forward-start rainbow options

机译：前期彩虹期权的估值
- 作者：Chen Chun-Ying;Wang Hsiao-Chuan;Wang Jr-Yan
- 期刊名称：《Review of Derivatives Research》 | 2015年第2期
- Discrete-sampling path-dependent option;
- Rainbow option;
- Forward-start option;
- Reset option;
- Lookback option;
43.Do CDS spreads move with commonality in liquidity?

机译：CDS点差在流动性上是否具有共同性？
- 作者：Meine Christian;Supper Hendrik;Weiss Gregor N. F.
- 期刊名称：《Review of Derivatives Research》 | 2015年第3期
- Credit default swaps;
- Liquidity commonality;
- Liquidity risk;
44.A note on the pricing of multivariate contingent claims under a transformed-gamma distribution

机译：关于转换伽马分布下的多或有债权定价的注释
- 作者：Vitiello Luiz;Rebelo Ivonia
- 期刊名称：《Review of Derivatives Research》 | 2015年第3期
45.Do correlated defaults matter for CDS premia? An empirical analysis

机译：相关违约对CDS溢价有影响吗？实证分析
- 作者：Koziol Christian;Koziol Philipp;Schoen Thomas
- 期刊名称：《Review of Derivatives Research》 | 2015年第3期
- Correlated defaults;
- Systemic risk;
- Idiosyncratic risk;
- Collateralized debt obligations;
- Credit default swaps;
- Credit derivatives;
46.A copula-based approach for generating lattices

机译：基于copula的生成格子的方法
- 作者：Wang Tianyang;Dyer James S.;Hahn Warren J.
- 期刊名称：《Review of Derivatives Research》 | 2015年第3期
- Stochastic processes;
- Discrete models;
- Option pricing;
- Copulas;
47.Pricing average options under time-changed Levy processes

机译：时变征费程序下的平均期权定价
- 作者：Akira Yamazaki
- 期刊名称：《Review of Derivatives Research》 | 2014年第1期
- Average options;
- Time-changed Levy processes;
- Gram-Charlier expansion;
- Affine processes;
- Quadratic Gaussian processes;
48.An analytical approach for systematic risk sensitivity of structured finance products

机译：一种结构化金融产品的系统风险敏感性分析方法
- 作者：Arndt Claussen;Sebastian Loehr;Daniel Roesch
- 期刊名称：《Review of Derivatives Research》 | 2014年第1期
- Credit derivatives;
- CDO;
- Bond;
- Ratings;
- Systematic risk;
49.Does modeling framework matter? A comparative study of structural and reduced-form models

机译：建模框架重要吗？结构模型和简化模型的比较研究
- 作者：Yalin Guenduez;Marliese Uhrig-Homburg
- 期刊名称：《Review of Derivatives Research》 | 2014年第1期
- Credit risk;
- Structural models;
- Reduced-form models;
- Default intensity;
- Stationary leverage;
- Credit default swaps;
50.Path-dependent game options: a lookback case

机译：路径相关的游戏选项：回顾案例
- 作者：Peidong Guo;Qihong Chen;Xicai Guo;Yue Fang
- 期刊名称：《Review of Derivatives Research》 | 2014年第1期
- American options;
- Lookback game options;
- Callable feature;
- Path dependent;
51.A closed-form solution for options with ambiguity about stochastic volatility

机译：对于随机波动性含糊不清的期权的封闭式解决方案
- 作者：Goncalo Faria;Joao Correia-da-Silva
- 期刊名称：《Review of Derivatives Research》 | 2014年第2期
- Option pricing;
- Stochastic volatility;
- Ambiguity;
52.Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

机译：使用径向基函数插值方案的一维跳跃扩散模型下的期权定价
- 作者：Ron Tat Lung Chan;Simon Hubbert
- 期刊名称：《Review of Derivatives Research》 | 2014年第2期
- European options;
- American options;
- Jump-diffusion models;
- Radial basis functions;
- Cubic spline;
53.The price discovery of day trading activities in futures market

机译：期货市场即日交易活动的价格发现
- 作者：Ming-Hsien Chen;Vivian W. Tai
- 期刊名称：《Review of Derivatives Research》 | 2014年第2期
- Day trading volume;
- Price discovery;
- Unexpected shocks;
- Stock index futures;
54.Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing

机译：非单调定价内核和用于期权定价的扩展混合分布类
- 作者：Luiz Vitiello;Ser-Huang Poon
- 期刊名称：《Review of Derivatives Research》 | 2014年第2期
55.Efficiently pricing double barrier derivatives in stochastic volatility models

机译：在随机波动率模型中有效定价双壁垒导数
- 作者：Marcos Escobar;Peter Hieber;Matthias Scherer
- 期刊名称：《Review of Derivatives Research》 | 2014年第2期
- First-passage time;
- Barrier options;
- Stochastic volatility;
- Stochastic clock;
56.The impact of quantitative easing on the US term structure of interest rates

机译：量化宽松政策对美国利率期限结构的影响
- 作者：Robert Jarrow;Hao Li
- 期刊名称：《Review of Derivatives Research》 | 2014年第3期
- Quantitative easing;
- The term structure of interest rates;
- Arbitrage-free models;
- Large trader;
- Quantity impact on price;
57.An overview of the valuation of collateralized derivative contracts

机译：衍生品抵押合同评估概述
- 作者：Jean-Paul Laurent;Philippe Amzelek;Joe Bonnaud
- 期刊名称：《Review of Derivatives Research》 | 2014年第3期
- CCP Swaps Repos;
- OIS Haircuts;
- BSDE;
58.The effects of corporate governance and accounting rule changes on derivatives usage

机译：公司治理和会计准则变更对衍生工具使用的影响
- 作者：Ching-Lung Chen;Hung-Shu Fan;Ya-Ming Yang
- 期刊名称：《Review of Derivatives Research》 | 2014年第3期
59.The αVG model for multivariate asset pricing: calibration and extension

机译：多元资产定价的αVG模型：校准和扩展
- 作者：Florence Guillaume
- 期刊名称：《Review of Derivatives Research》 | 2013年第1期
- Multivariate asset pricing;
- αVG model;
- Calibration;
- Calibration risk;
60.Parametric modeling of implied smile functions: a generalized SVI model

机译：隐含微笑函数的参数化建模：广义SVI模型
- 作者：Bo Zhao;Stewart D. Hodges
- 期刊名称：《Review of Derivatives Research》 | 2013年第1期
- Implied volatility;
- Parametric model;
- Kummer function;
61.The performance of model based option trading strategies

机译：基于模型的期权交易策略的表现
- 作者：Bjørn Eraker
- 期刊名称：《Review of Derivatives Research》 | 2013年第1期
- Dynamic trading;
- Options returns;
- Stochastic volatility;
- Mean-variance;
62.On the primal-dual algorithm for callable Bermudan options

机译：关于可调用百慕大期权的原始对偶算法
- 作者：Maximilian L. Mair;Jan H. Maruhn
- 期刊名称：《Review of Derivatives Research》 | 2013年第1期
- Bermudan options;
- Dual bounds;
- Mixed exercise;
63.New solvable stochastic volatility models for pricing volatility derivatives

机译：用于定价波动率衍生工具的新的可解随机波动率模型
- 作者：Andrey Itkin
- 期刊名称：《Review of Derivatives Research》 | 2013年第2期
- Volatility derivatives;
- Variance swap;
- Options;
- Stochastic volatility model;
- Lie symmetry;
- Closed-form solution;
- Pricing;
64.Valuation of American partial barrier options

机译：美国部分障碍期权的估值
- 作者：Doobae Jun;Hyejin Ku
- 期刊名称：《Review of Derivatives Research》 | 2013年第2期
- Partial barrier option;
- American option;
- Hitting time;
- Barrier approximation;
65.The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques

机译：使用傅立叶变换技术评估随机波动下的欧洲复合期权价格
- 作者：Susanne A. Griebsch
- 期刊名称：《Review of Derivatives Research》 | 2013年第2期
- Compound options;
- Heston model;
- Fourier transform techniques;
- Characteristic functions;
66.How fair-value accounting can influence firm hedging

机译：公允价值会计如何影响公司对冲
- 作者：Leif Atle Beisland;Dennis Frestad
- 期刊名称：《Review of Derivatives Research》 | 2013年第2期
- Cash-flow hedging;
- Earnings hedging;
- Earnings volatility;
- Unhedgeable risk;
- Hedgeable risk;
- Fair value accounting;
67.Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices

机译：不确定性期望的动态关系：隐含波动率指数的条件评估
- 作者：Costas Siriopoulos;Athanasios Fassas
- 期刊名称：《Review of Derivatives Research》 | 2013年第3期
- Implied volatility indices;
- VIX;
- Transmission of uncertainty;
- Dynamic conditional correlation;
68.A lattice model for option pricing under GARCH-jump processes

机译：GARCH跳过程下期权定价的格模型
- 作者：Bing-Huei Lin;Mao-Wei Hung;Jr-Yan Wang;Ping-Da Wu
- 期刊名称：《Review of Derivatives Research》 | 2013年第3期
- GARCH-jump process;
- Option pricing;
- Lattice model;
- GARCH process;
- Jump-diffusion process;
69.Capital adequacy rules, catastrophic firm failure, and systemic risk

机译：资本充足率规则，灾难性的公司倒闭和系统风险
- 作者：Robert Jarrow
- 期刊名称：《Review of Derivatives Research》 | 2013年第3期
- Value at risk;
- Leverage ratios;
- Catastrophic failure;
- Systemic risk;
70.Local volatility of volatility for the VIX market

机译：VIX市场的本地波动率
- 作者：Gabriel Drimus;Walter Farkas
- 期刊名称：《Review of Derivatives Research》 | 2013年第3期
- VIX futures;
- VIX options;
- Volatility of volatility;
- Volatility derivatives;
71.Option pricing and hedging under a stochastic volatility Lévy process model

机译：随机波动率Lévy过程模型下的期权定价和对冲
- 作者：Young Shin Kim;Frank J. Fabozzi;Zuodong Lin;Svetlozar T. Rachev
- 期刊名称：《Review of Derivatives Research》 | 2012年第1期
- Option pricing;
- Hedging;
- Stochastic volatility;
- Continuous Markov chain;
- Regime-switching model;
- Lévy process;
- Esscher transform;
- C6;
- G11;
- G12;
- G13;
72.A call on art investments

机译：呼吁艺术品投资
- 作者：Roman Kraeussl;Christian Wiehenkamp
- 期刊名称：《Review of Derivatives Research》 | 2012年第1期
- Art market;
- Art index;
- Alternative investments;
- Option pricing;
- G11;
- G13;
- Z11;
73.Delta-hedging correlation risk?

机译：Delta套期保值相关风险？
- 作者：Areski Cousin;Stéphane Crépey;Yu Hang Kan
- 期刊名称：《Review of Derivatives Research》 | 2012年第1期
- Credit risk;
- CDO;
- Hedging;
- Delta;
- Gaussian copula;
- Local intensity;
- Backtesting;
- G13;
74.Calibration risk: Illustrating the impact of calibration risk under the Heston model

机译：校准风险：说明Heston模型下校准风险的影响
- 作者：Florence Guillaume;Wim Schoutens
- 期刊名称：《Review of Derivatives Research》 | 2012年第1期
- Heston model;
- Calibration;
- Model risk;
- Calibration risk;
- Exotic options;
- C63;
- G17;
75.Analytical pricing of American options

机译：美式期权的分析定价
- 作者：Jun Cheng;Jin E. Zhang
- 期刊名称：《Review of Derivatives Research》 | 2012年第2期
- American options;
- Optimal exercise boundary;
- Homotopy analysis method;
- G13;
76.Unifying exotic option closed formulas

机译：统一外来期权封闭式
- 作者：Carlos Veiga;Uwe Wystup;Manuel L. Esquível
- 期刊名称：《Review of Derivatives Research》 | 2012年第2期
- Exotic options;
- Mountain range;
- Discrete lookback;
- Closedformula;
- Payoff language;
- Multi-asset multi-currency model;
- C02;
77.Equilibrium exercise of European warrants

机译：欧洲认股权证的均衡行使
- 作者：Nikunj Kapadia;Gregory Willette
- 期刊名称：《Review of Derivatives Research》 | 2012年第2期
- European warrant;
- Competitive equilibrium;
- Exercise policy;
- G12;
- G13;
78.The value of tradeability

机译：可交易性的价值
- 作者：Marc Chesney;Alexander Kempf
- 期刊名称：《Review of Derivatives Research》 | 2012年第3期
- Tradeability;
- Liquidity;
- Option pricing;
- G13;
79.Joint econometric modeling of spot electricity prices, forwards and options

机译：现货电价，远期和期权的联合计量经济学建模
- 作者：Alain Monfort;Olivier Féron
- 期刊名称：《Review of Derivatives Research》 | 2012年第3期
- Electricity derivative pricing;
- Spikes;
- Car processes;
- Stochastic discount factor;
- Kitagawa–Hamilton filter;
- C10;
- C51;
- C58;
- G12;
80.Liquidity and CDS premiums on European companies around the Subprime crisis

机译：次贷危机后欧洲公司的流动性和CDS溢价
- 作者：Clothilde Lesplingart;Christophe Majois;Mikael Petitjean
- 期刊名称：《Review of Derivatives Research》 | 2012年第3期
- CDS;
- Liquidity;
- Subprime crisis;
- C58;
- G1;
81.Tractable hedging with additional hedge instruments

机译：可利用其他套期工具进行可对冲
- 作者：Nicole Branger;Antje Mahayni
- 期刊名称：《Review of Derivatives Research》 | 2011年第1期
- Stochastic volatility;
- Robust hedging;
- Tractable hedging;
- Uncertain volatility model;
- Additional hedge instrument;
- Coherent risk measure;
- G13;
82.Modelling default contagion using multivariate phase-type distributions

机译：使用多元相位类型分布对默认传染进行建模
- 作者：Alexander Herbertsson
- 期刊名称：《Review of Derivatives Research》 | 2011年第1期
83.A binomial approximation for two-state Markovian HJM models

机译：二态马尔可夫HJM模型的二项式逼近
- 作者：Massimo Costabile;Ivar Massabó;Emilio Russo
- 期刊名称：《Review of Derivatives Research》 | 2011年第1期
- Interest rate options;
- Contingent claims;
- Binomial algorithms;
- Discrete-time models;
- C63;
- G12;
84.Foreign currency bubbles

机译：外币泡沫
- 作者：Robert A. Jarrow;Philip Protter
- 期刊名称：《Review of Derivatives Research》 | 2011年第1期
- Price bubbles;
- Foreign currencies;
- Inflation;
- Martingale measures;
- Arbitrage;
85.Guest editorial: Special issue on hedge funds

机译：客座社论：对冲基金特刊
- 作者：Vikas Agarwal
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
86.Manager fee contracts and managerial incentives

机译：经理费合同和管理激励
- 作者：Gong Zhan
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
- Hedge fund;
- Principal-agent problem;
- High water mark;
- Fee contract;
- G23;
- G28;
87.The financial crisis and hedge fund returns

机译：金融危机和对冲基金回报
- 作者：Nicolas P. B. Bollen
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
- Hedge funds;
- Financial crisis;
- Systemic risk;
- G01;
- G23;
88.The option CAPM and the performance of hedge funds

机译：期权CAPM和对冲基金的表现
- 作者：Antonio Diez de los Rios;René Garcia
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
- Hedge funds;
- Non-linear return structure;
- Performance evaluation;
- C1;
- C5;
- G1;
89.The role of hedge funds as primary lenders

机译：对冲基金作为主要贷方的角色
- 作者：Vikas Agarwal;Costanza Meneghetti
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
- Hedge funds;
- Bank borrowers;
- Bond issuers;
- Lending;
- D82;
- G14;
- G23;
90.Corporate governance and hedge fund activism

机译：公司治理和对冲基金行动主义
- 作者：Nicole M. Boyson;Robert M. Mooradian
- 期刊名称：《Review of Derivatives Research》 | 2011年第2期
- Hedge funds;
- Activism;
- Corporate governance;
- G11;
- G34;
91.A recombining lattice option pricing model that relaxes the assumption of lognormality

机译：重组格子期权定价模型，放宽对数正态性的假设
- 作者：Dasheng Ji;B. Wade Brorsen
- 期刊名称：《Review of Derivatives Research》 | 2011年第3期
- Binomial trees;
- Gaussian quadrature;
- Option pricing;
- C58;
- G13;
- Q14;
92.American options and callable bonds under stochastic interest rates and endogenous bankruptcy

机译：随机利率和内生破产下的美国期权和可赎回债券
- 作者：João Pedro Vidal Nunes
- 期刊名称：《Review of Derivatives Research》 | 2011年第3期
- American options;
- Optimal stopping time;
- Convolutions;
- Stochastic interest rates;
- Callable defaultable bonds;
- G13;
93.The β-variance gamma model

机译：β方差伽马模型
- 作者：Wim Schoutens;Geert Van Damme
- 期刊名称：《Review of Derivatives Research》 | 2011年第3期
- Levy processes;
- Hitting probability;
- Barrier options;
- C60;
- C16;
- C02;
94.A remark on static hedging of options written on the last exit time

机译：关于最后一次退出时间写的期权静态对冲的评论
- 作者：Yuri Imamura
- 期刊名称：《Review of Derivatives Research》 | 2011年第3期
- Static hedging strategy;
- Exotic option;
- Last exit time;
- Carr-Chou’s symmetry formula;
- G13;
- C69;
95.Analytical approximations for the critical stock prices of American options: a performance comparison

机译：美国期权关键股票的分析近似值：性能比较
- 作者：Minqiang Li
- 期刊名称：《Review of Derivatives Research》 | 2010年第1期
96.Convenience yields

机译：便利收益
- 作者：Robert A. Jarrow
- 期刊名称：《Review of Derivatives Research》 | 2010年第1期
97.Exchange option pricing under stochastic volatility: a correlation expansion

机译：随机波动下的期权定价：相关展开
- 作者：F. Antonelli;A. Ramponi;S. Scarlatti
- 期刊名称：《Review of Derivatives Research》 | 2010年第1期
98.A fast Fourier transform technique for pricing American options under stochastic volatility

机译：快速傅立叶变换技术，用于在随机波动率下为美式期权定价
- 作者：Oleksandr Zhylyevskyy
- 期刊名称：《Review of Derivatives Research》 | 2010年第1期
99.A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

机译：一般多维扩散过程下美式期权定价的准分析插值方法
- 作者：Minqiang Li
- 期刊名称：《Review of Derivatives Research》 | 2010年第2期
100.A forward started jump-diffusion model and pricing of cliquet style exotics

机译：向前开始的跳跃扩散模型和洋气式奇异物的定价
- 作者：Gabriel G. Drimus
- 期刊名称：《Review of Derivatives Research》 | 2010年第2期

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