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Getting the Drift
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Getting the Drift (2006)Getting the DriftPractical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (2013)Practical policy iteration: G…On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance (2012)On Weak Predictor–Corrector S…Simulation of nonlinear interest rates in quantum finance: Libor Market Model (2011)Simulation of nonlinear inter…New and Robust Drift Approximations for the Libor Market Model (2006)New and Robust Drift Approxim…LIBOR and swap market models and measures (1997)The Market Model of Interest Rate Dynamics (1997)Interest Rate Models Theory and Practice (2001)Pricing of range accrual swap in the quantum finance Libor Market Model (2014)Quantum Field Theory for Economics and Finance (2018)Option pricing when underlying stock returns are discontinuous (1976)Monte Carlo Methods in Financial Engineering (2003)Numerical solution of stochastic differential equations (2016)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Cross-hedging minimum return guarantees: Basis and liquidity risks (2014)Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochastic Calculus (2007)Fast and accurate Greeks for the LIBOR Market Model (2011)
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  • 2011Simulation of nonlinear interest rates in quantum finance: Libor Market Model40 cited
  • 2006New and Robust Drift Approximations for the Libor Market Model29 cited
  • 2013Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation24 cited
  • 2012On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance18 cited

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