| CRASHES AS CRITICAL POINTS | 2000/04/01 | English | 70 |
| OPTION PRICING FOR TRUNCATED LÉVY PROCESSES | 2000/07/01 | English | 61 |
| VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS | 2000/10/01 | English | 53 |
| Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility | 1998/01/01 | English | 45 |
| THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS | 2008/12/01 | English | 44 |
| RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS | 2000/07/01 | English | 38 |
| OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK | 2011/05/01 | English | 32 |
| AMERICAN OPTIONS WITH REGIME SWITCHING | 2002/08/01 | English | 31 |
| DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION | 2005/01/01 | English | 30 |
| STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS | 2012/02/01 | English | 27 |
| OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT | 2015/05/01 | English | 27 |
| THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE | 2004/05/01 | English | 26 |
| COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION | 2009/11/01 | English | 25 |
| Minimum-Relative-Entropy Calibration of Asset-Pricing Models | 1998/10/01 | English | 25 |
| SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL | 2009/09/01 | English | 23 |
| ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM | 2004/03/01 | English | 23 |
| MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING | 2010/02/01 | English | 23 |
| PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS | 2009/12/01 | English | 21 |
| PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES | 2004/05/01 | English | 19 |
| A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS | 2008/02/01 | English | 19 |
| LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES | 2002/06/01 | English | 19 |
| A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING | 2008/03/01 | English | 17 |
| A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL | 2012/03/01 | English | 16 |
| EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL | 2010/02/01 | English | 16 |
| IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY | 2001/02/01 | English | 15 |
| ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME | 2012/08/01 | English | 14 |
| MEAN-REVERTING STOCHASTIC VOLATILITY | 2000/01/01 | English | 14 |
| INFORMATION-BASED ASSET PRICING | 2008/02/01 | English | 14 |
| VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING | 2007/02/01 | English | 14 |
| MEASURING AND MONITORING THE EFFICIENCY OF MARKETS | 2017/12/01 | English | 14 |