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Cited by

• 2016Numerical Solution of Stochastic Differential Equations223 cited
• 2013Estimation methods for expected shortfall112 cited
• 2011Commodity Price Dynamics92 cited
• 2009Risk minimization in stochastic volatility models: model risk and empirical performance70 cited
• 2013Multicriteria decision systems for financial problems66 cited
• 2012Finite-Element Methods46 cited
• 2007Level–Slope–Curvature – Fact or Artefact?39 cited
• 2009Modelling of pricing and market impacts for water options34 cited
• 2006Barrier options and their static hedges: simple derivations and extensions34 cited
• 2008Partial proxy simulation schemes for generic and robust Monte Carlo Greeks30 cited
• 2006New and Robust Drift Approximations for the Libor Market Model29 cited
• 2009The convergence of binomial trees for pricing the American put26 cited
• 2009Trinomial or binomial: Accelerating American put option price on trees25 cited
• 2013Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation24 cited
• 2010