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Cited by

• 2005Recovering volatility from option prices by evolutionary optimization110 cited
• 2014Self-Exciting Jumps, Learning, and Asset Pricing Implications99 cited
• 2007Rare events, splitting, and quasi-Monte Carlo89 cited
• 2019Branching diffusion representation of semilinear PDEs and Monte Carlo approximation82 cited
• 2008State-dependent importance sampling for regularly varying random walks63 cited
• 2008Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree63 cited
• 2012Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering62 cited
• 2016The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability59 cited
• 2009Interacting particle systems for the computation of rare credit portfolio losses58 cited
• 2013On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players46 cited
• 2011Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering44 cited
• 2017A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting40 cited
• 2015Feynman–Kac formulas for regime-switching jump diffusions and their applications36 cited