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• 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
• 2005Portfolio optimization with unobservable Markov-modulated drift process126 cited
• 2002GARCH vs. stochastic volatility: Option pricing and risk management125 cited
• 2010On mean-variance portfolio selection under a hidden Markovian regime-switching model79 cited
• 2004The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps75 cited
• 2001The Optimal Discretization of Stochastic Differential Equations71 cited
• 2003SOLVING STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS BASED ON THE EXPERIMENTAL DATA70 cited
• 2006Structure preserving stochastic integration schemes in interest rate derivative modeling65 cited
• 2007Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment54 cited
• 2021Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables52 cited
• 2003Empirical reverse engineering of the pricing kernel49 cited
• 2001On the simulation of iterated Itô integrals47 cited
• 2014Probabilistic solutions of some multi-degree-of-freedom nonlinear stochastic dynamical systems excited by filtered Gaussian white noise34 cited