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• 2012An Asymptotic Expansion with Push-Down of Malliavin Weights82 cited
• 2010The large-maturity smile for the Heston model78 cited
• 2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model77 cited
• 2017Explicit implied volatilities for multifactor local-stochastic volatility models72 cited
• 2010Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes68 cited
• 2012Small-time asymptotics for fast mean-reverting stochastic volatility models65 cited
• 2014Hermite polynomial based expansion of European option prices62 cited
• 2013On the hedging of options on exploding exchange rates57 cited
• 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
• 2020Closed-form implied volatility surfaces for stochastic volatility models with jumps48 cited
• 2013Closed-Form Expansion, Conditional Expectation, and Option Valuation44 cited
• 2011The Smile Calibration Problem Solved41 cited
• 2011Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model39 cited
• 2012New solvable stochastic volatility models for pricing volatility derivatives