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| 1995 | Pricing and hedging derivative securities in markets with uncertain volatilities
RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88 [Citation Analysis] | 41 |
| 2005 | Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 [Citation Analysis] | 39 |
| 2002 | On modelling and pricing weather derivatives
RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 [Citation Analysis] | 25 |
| 1994 | Stock market bubbles in the laboratory
RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128 [Citation Analysis] | 20 |
| 1995 | Uncertain volatility and the risk-free synthesis of derivatives
RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133 [Citation Analysis] | 19 |
| 2000 | Volatility skews and extensions of the Libor market model
RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 [Citation Analysis] | 18 |
| 2003 | Optimal execution with nonlinear impact functions and trading-enhanced risk
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 [Citation Analysis] | 17 |
| 2005 | The Dynamic Interaction of Speculation and Diversification
RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 [Citation Analysis] | 17 |
| 1998 | A framework for valuing corporate securities
RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 [Citation Analysis] | 15 |
| 2002 | Bivariate option pricing with copulas
RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 [Citation Analysis] | 13 |
| 1995 | Statistical modelling of asymmetric risk in asset returns
RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172 [Citation Analysis] | 11 |
| 1996 | The use and pricing of convertible bonds
RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190 [Citation Analysis] | 10 |
| 1996 | Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52 [Citation Analysis] | 10 |
| 2003 | A note on arbitrage-free pricing of forward contracts in energy markets
RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 [Citation Analysis] | 10 |
| 2006 | A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 [Citation Analysis] | 9 |
| 1997 | Calibrating volatility surfaces via relative-entropy minimization
RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 [Citation Analysis] | 9 |
| 1995 | Two extensions to barrier option valuation
RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209 [Citation Analysis] | 8 |
| 1994 | Delta, gamma and bucket hedging of interest rate derivatives
RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48 [Citation Analysis] | 8 |
| 2005 | Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 [Citation Analysis] | 8 |
| 1995 | A simple class of square-root interest-rate models
RePEc:taf:apmtfi:v:2:y:1995:i:1:p:61-72 [Citation Analysis] | 7 |
| 1996 | Toward real-time pricing of complex financial derivatives
RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20 [Citation Analysis] | 7 |
| 1994 | Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194 [Citation Analysis] | 6 |
| 2006 | Interpolation Methods for Curve Construction
RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129 [Citation Analysis] | 6 |
| 2010 | Analysis of Fourier Transform Valuation Formulas and Applications
RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240 [Citation Analysis] | 6 |
| 2004 | On the pricing and hedging of volatility derivatives
RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346 [Citation Analysis] | 5 |
| 2004 | Multiple time scales in volatility and leverage correlations: a stochastic volatility model
RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50 [Citation Analysis] | 5 |
| 2006 | On the Distributional Characterization of Daily Log-Returns of a World Stock Index
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38 [Citation Analysis] | 5 |
| 2002 | Energy futures prices: term structure models with Kalman filter estimation
RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 [Citation Analysis] | 5 |
| 2006 | A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 [Citation Analysis] | 5 |
| 2003 | Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 [Citation Analysis] | 5 |
| 1996 | The pricing of Asian options under stochastic interest rates
RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236 [Citation Analysis] | 5 |
| 2010 | Optimal Basket Liquidation for CARA Investors is Deterministic
RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489 [Citation Analysis] | 5 |
| 2009 | Modelling Electricity Prices with Forward Looking Capacity Constraints
RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122 [Citation Analysis] | 4 |
| 1996 | Binomial models for option valuation - examining and improving convergence
RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346 [Citation Analysis] | 4 |
| 2003 | A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 [Citation Analysis] | 4 |
| 2007 | On American Options Under the Variance Gamma Process
RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152 [Citation Analysis] | 4 |
| 2008 | Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121 [Citation Analysis] | 4 |
| 1994 | Stochastic equity volatility related to the leverage effect
RePEc:taf:apmtfi:v:1:y:1994:i:1:p:63-85 [Citation Analysis] | 4 |
| 2004 | Modelling credit default swap spreads by means of normal mixtures and copulas
RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 [Citation Analysis] | 3 |
| 2005 | Stochastic Volatility Model with Time-dependent Skew
RePEc:taf:apmtfi:v:12:y:2005:i:2:p:147-185 [Citation Analysis] | 3 |
| 1994 | Simulations of transaction costs and optimal rehedging
RePEc:taf:apmtfi:v:1:y:1994:i:1:p:49-62 [Citation Analysis] | 3 |
| 1998 | Optimal exercise boundary for an American put option
RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 [Citation Analysis] | 3 |
| 1999 | Multigrid for American option pricing with stochastic volatility
RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195 [Citation Analysis] | 3 |
| 1996 | A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
RePEc:taf:apmtfi:v:3:y:1996:i:4:p:295-317 [Citation Analysis] | 3 |
| 2007 | A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169 [Citation Analysis] | 3 |
| 1998 | General Black-Scholes models accounting for increased market volatility from hedging strategies
RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 [Citation Analysis] | 3 |
| 1996 | Bond, futures and option evaluation in the quadratic interest rate model
RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115 [Citation Analysis] | 3 |
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RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535 [Citation Analysis] | 3 |
| 1999 | A finite element approach to the pricing of discrete lookbacks with stochastic volatility
RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 [Citation Analysis] | 3 |
| 2001 | A numerical PDE approach for pricing callable bonds
RePEc:taf:apmtfi:v:8:y:2001:i:1:p:49-77 [Citation Analysis] | 3 |
