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Lévy Processes in Finance
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  • 2006Fractional Diffusion Models of Option Prices in Markets With Jumps355 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
  • 2006A Multivariate Jump-Driven Financial Asset Model204 cited
  • 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
  • 2006SELF‐DECOMPOSABILITY AND OPTION PRICING179 cited
  • 2004A perfect calibration! now what?175 cited
  • 2010Analysis of Fourier Transform Valuation Formulas and Applications164 cited
  • 2018Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting158 cited
  • 2004Fast deterministic pricing of options on Lévy driven assets144 cited
  • 2011Lévy Jump Risk: Evidence from Options and Returns143 cited
  • 2009REGULAR VARIATION AND SMILE ASYMPTOTICS133 cited
  • 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes124 cited
  • 2005Wavelet Galerkin pricing of American options on Lévy driven assets109 cited

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  • 2008A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS109 cited
  • 2005Student processes107 cited