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The Mathematics of Financial Derivatives
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  • 2006Fractional Diffusion Models of Option Prices in Markets With Jumps355 cited
  • 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation328 cited
  • 2002Survival Analysis Methods for Personal Loan Data266 cited
  • 2019Functional Itô calculus257 cited
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  • 2011Evaluating sustainable retrofits in existing buildings under uncertainty228 cited
  • 2016Numerical Solution of Stochastic Differential Equations223 cited
  • 2014Principles of Financial Economics206 cited
  • 2009Valuation of energy storage: an optimal switching approach177 cited
  • 2000MEAN-REVERTING STOCHASTIC VOLATILITY176 cited
  • 2008On the numerical solution of nonlinear Black–Scholes equations155 cited
  • 2004Number of paths versus number of basis functions in American option pricing151 cited
  • 2008Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem141 cited
  • 1998Multi-affine analysis of typical currency exchange rates137 cited
  • 2000

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Pricing double barrier options using Laplace transforms
136 cited
  • 2009Operator splitting methods for pricing American options under stochastic volatility132 cited