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The Complete Guide to Option Pricing Formulas
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(2002)Parameter estimation and bias correction for diffusion processes (2008)Affine fractional stochastic volatility models (2010)The pricing of commodity contracts (1976)Recursive Methods in Economic Dynamics (1989)Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996)Integrated Optimization of Procurement, Processing, and Trade of Commodities (2011)Real-Time Ambulance Dispatching and Relocation (2018)Impact of cybersecurity on operations and supply chain management: Emerging trends and future research directions (2022)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monte Carlo Methods in Financial Engineering (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (2017)Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic (2021)Brownian Motion and Stochastic Flow Systems. 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  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2014Interest‐Rate Modelling190 cited
  • 2019Brokers versus Retail Investors: Conflicting Interests and Dominated Products184 cited
  • 2004The information content of the limit order book: evidence from NYSE specialist trading decisions177 cited
  • 2010An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation163 cited
  • 2007The Effects Of Endowment And Loss Aversion In Managerial Stock Option Valuation137 cited
  • 2000Valuing Equity-Indexed Annuities111 cited
  • 2010Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula108 cited
  • 2015Risk Estimation via Regression94 cited
  • 2014Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options83 cited
  • 2004GARCH and Volatility swaps77 cited
  • 2012Growing short rotation coppice on agricultural land in Germany: A Real Options Approach71 cited
  • 2003Pricing Lookback Options and Dynamic Guarantees69 cited

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  • 2010Interest Rate Modelling64 cited
  • 2002On the Use of Numeraires in Option Pricing59 cited