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Cited by

• 2008On the duality principle in option pricing: semimartingale setting65 cited
• 2007Mean-variance portfolio selection for a non-life insurance company63 cited
• 2009Jump-diffusion Models: a Practitioner's Guide60 cited
• 2009Computing exponential moments of the discrete maximum of a Lévy process and lookback options59 cited
• 2008An introduction to Lévy processes with applications in finance45 cited
• 2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan41 cited
• 2005Exotic options under Lévy models: An overview41 cited
• 2009Numerical methods for Lévy processes34 cited
• 2013Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme25 cited
• 2016Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing23 cited
• 2007Hedging with risk for game options in discrete time23 cited
• 2008Report on Foundation and Organization of Econophysics Graduate Courses at Faculty of Physics of University of Warsaw and Department of Physics and Astronomy of the Wrocław University21 cited
• 2013Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions21 cited