References

• 2007Brownian Motion and Stochastic Calculus7,421 cited
• 2016Numerical solution of stochastic differential equations5,001 cited
• 2003Monte Carlo Methods in Financial Engineering3,818 cited
• 2010Multidimensional Stochastic Processes as Rough Paths750 cited
• 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
• 2004Cubature on Wiener space196 cited
• 2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing175 cited
• 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
• 2005Convergence of Monte Carlo simulations involving the mean-reverting square root process162 cited
• 2006Correlations and bounds for stochastic volatility models106 cited
• 2004Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus90 cited
• 2009A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method56 cited
• 2012A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL53 cited
• 2012A new extrapolation method for weak approximation schemes with applications22 cited

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