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Cited by

• 2015Pricing under rough volatility461 cited
• 2011Econophysics review: I. Empirical facts345 cited
• 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
• 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
• 2019The characteristic function of rough Heston models305 cited
• 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
• 2009Volatility Derivatives178 cited
• 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
• 2010ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS165 cited
• 2009REGULAR VARIATION AND SMILE ASYMPTOTICS133 cited
• 2012Polynomial processes and their applications to mathematical finance131 cited
• 2015A tale of two option markets: Pricing kernels and volatility risk123 cited
• 2011Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios111 cited
• 2013Mimicking an Itô process by a solution of a stochastic differential equation110 cited