Review of Derivatives Research

Aims & Scope

The Review of Derivatives Research 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.

View Aims & Scope

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Metrics & Ranking

SJR (SCImago Journal Rank)

Year	Value
2024	0.351

Quartile

Year	Value
2024	Q2

h-index

Year	Value
2024	30

Impact Factor

Year	Value
2024	0.70

Journal Rank

Year	Value
2024	15119

Journal Citation Indicator

Year	Value
2024	37

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Abstracting & Indexing

Journal is indexed in leading academic databases, ensuring global visibility and accessibility of our peer-reviewed research.

• Scopus
• Google Scholar
• Web of Science

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Subjects & Keywords

Journal’s research areas, covering key disciplines and specialized sub-topics in Economics, Econometrics and Finance, designed to support cutting-edge academic discovery.

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Most Cited Articles

The Most Cited Articles section features the journal's most impactful research, based on citation counts. These articles have been referenced frequently by other researchers, indicating their significant contribution to their respective fields.

• Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

  Citation: 650

  Authors: Julio J., Eduardo S.

• On cox processes and credit risky securities

  Citation: 644

  Authors: David

• Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

  Citation: 304

  Authors: Leif, Jesper

• Pricing the risks of default

  Citation: 206

  Authors: Dilip B., Haluk

• Option pricing when correlations are stochastic: an analytical framework

  Citation: 155

  Authors: José Da, Martino, Claudio

• Corporate governance and hedge fund activism

  Citation: 140

  Authors: Nicole M., Robert M.

• A new approach for option pricing under stochastic volatility

  Citation: 126

  Authors: Peter, Jian

• Option Pricing Using Variance Gamma Markov Chains

  Citation: 101

  Authors: Mikhail, Dilip B.

• The Dynamics of the S&P 500 Implied Volatility Surface

  Citation: 99

  Authors: George, Stewart, Les

• Exact solutions for bond and option prices with systematic jump risk

  Citation: 96

  Authors: Sanjiv Ranjan, Silverio

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