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• 1997A P.D.E. approach to Asian options: analytical and numerical evidence85 cited
• 2012Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases57 cited
• 2013Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions55 cited
• 2006Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk55 cited
• 2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
• 2005Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps36 cited
• 1998Extremal Behavior of Diffusion Models in Finance33 cited
• 2007Convergence of values in optimal stopping and convergence of optimal stopping times32 cited
• 1996An approximation of American option prices in a jump-diffusion model29 cited
• 2004MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS27 cited