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• 2014Hermite polynomial based expansion of European option prices62 cited
• 2006Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model59 cited
• 2009Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives48 cited
• 2008Stochastic Local Volatility47 cited
• 2004An Option Pricing Formula for the GARCH Diffusion Model47 cited
• 2009Computation in an Asymptotic Expansion Method36 cited
• 2008On the Valuation of Variance Swaps with Stochastic Volatility34 cited
• 2009Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process33 cited
• 2014Path-Dependent Volatility32 cited
• 2001The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic32 cited
• 2004The Econometrics of Option Pricing30 cited
• 2006Turbo Warrants Under Stochastic Volatility29 cited
• 2020Inversion of convex ordering in the VIX market26 cited
• 2014Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate25 cited
• 2007American Options in Lévy Models with Stochastic Interest Rates