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Cited by

• 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation328 cited
• 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
• 2013Monte Carlo and Quasi-Monte Carlo Methods177 cited
• 2004A perfect calibration! now what?175 cited
• 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
• 2005Global sensitivity indices for nonlinear mathematical models. Review155 cited
• 2006Fast strong approximation Monte Carlo schemes for stochastic volatility models145 cited
• 2014Methodology of risk analysis by Monte Carlo Method applied to power generation with renewable energy122 cited
• 2007The estimation of copulas : theory and practice118 cited
• 2003Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge109 cited
• 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
• 2007Minimum variance importance samplingviaPopulation Monte Carlo93 cited
• 2006A stochastic programming model for asset liability management of a Finnish pension company76 cited
• 2005Static Hedging of Asian Options under Lévy Models