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Stochastic Calculus for Finance II
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  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
  • 2008A Liquidity-Based Theory of Closed-End Funds234 cited
  • 2016Numerical Solution of Stochastic Differential Equations223 cited
  • 2008Supply Contracts with Financial Hedging147 cited
  • 2012A Market-Based Study of the Cost of Default144 cited
  • 2016Labor-Technology Substitution: Implications for Asset Pricing113 cited
  • 2012Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model92 cited
  • 2012The econometrics of high-frequency data90 cited
  • 2010Temporary versus Permanent Shocks: Explaining Corporate Financial Policies77 cited
  • 2014Optimal Energy Procurement in Spot and Forward Markets74 cited
  • 2018Optimal Dynamic Capital Budgeting70 cited
  • 2009On first passage times of a hyper-exponential jump diffusion process70 cited
  • 2010A Bayesian Approach to Real Options: The Case of Distinguishing between Temporary and Permanent Shocks69 cited
  • 2017Risk-aware multi-armed bandit problem with application to portfolio selection61 cited
  • 2015Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage

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57 cited
  • 2009Interest rates in quantum finance: The Wilson expansion and Hamiltonian56 cited