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1. Markov-Modulated Affine Processes. (2022). Frey, Rudiger ; Kurt, Kevin.
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2. Additive normal tempered stable processes for equity derivatives and power law scaling. (2022). Baviera, Roberto ; Azzone, Michele.
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3. Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. (2020). Germano, Guido ; Marazzina, D ; Phelan, C E.
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4. A generalized European option pricing model with risk management. (2020). Jiang, Zhenyu ; Chen, Shuang ; Tan, Jie ; Feng, Chengxiao.
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5. Trade duration risk in subdiffusive financial models. (2020). Torricelli, Lorenzo.
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6. Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Shrestha, Keshab ; Ma, Yong ; Xu, Weidong ; Pan, Dongtao.
   In: Physica A: Statistical Mechanics and its Applications.
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7. Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model. (2020). Zhang, Yunbo ; Drapeau, Samuel.
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8. Hilbert transform, spectral filters and option pricing. (2020). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E.
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9. Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias.
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10. Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias.
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11. Tempered stable process, first passage time, and path-dependent option pricing. (2019). Kim, Youngshin.
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12. Hilbert transform, spectral filters and option pricing. (2019). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E.
    In: Annals of Operations Research.
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13. Quanto Option Pricing with Lévy Models. (2019). Fabozzi, Frank ; Kim, Young S ; Park, Jiho ; Fallahgoul, Hasan A.
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14. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching. (2019). Siu, Tak Kuen ; Ching, Wai-Ki ; Lu, Jiejun ; Zhu, Dong-Mei.
    In: Computational Economics.
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15. Efficient computation of european option prices and their sensitivities with the complex fourier series method. (2019). Chan, Tat Lung.
    In: The North American Journal of Economics and Finance.
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16. Tempered stable structural model in pricing credit spread and credit default swap. (2018). Kim, Youngshin ; Ik, Sung.
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17. Multi-factor approximation of rough volatility models. (2018). el Euch, Omar ; Jaber, Eduardo Abi.
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18. Smiling twice: The Heston++ model. (2018). Reno, Roberto ; Pompa, Gabriele ; Pacati, Claudio.
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19. Gas storage valuation under multifactor Lévy processes. (2018). Cummins, Mark ; Kiely, Greg ; Murphy, Bernard.
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20. Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. (2018). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E.
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21. On the data-driven COS method. (2018). Oosterlee, Cornelis ; Bohte, Sander M ; Ortiz-Gracia, Luis ; Leitao, Alvaro.
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22. Fluctuation identities with continuous monitoring and their application to price barrier options. (2017). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E.
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23. Valuation of American options under the CGMY model. (2016). Li, Yutian ; Guo, XU.
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24. Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. (2016). Torricelli, Lorenzo.
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25. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. (2016). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele.
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26. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. (2016). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele.
    In: European Journal of Operational Research.
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27. The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu.
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28. Static hedging under maturity mismatch. (2015). Schmidt, Wolfgang ; Mayer, Philipp ; Packham, Natalie.
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29. Barrier style contracts under Lévy processes: An alternative approach. (2015). Fajardo, José.
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30. Quanto option pricing in the presence of fat tails and asymmetric dependence. (2015). Mittnik, Stefan ; Kim, Youngshin ; Park, Jiho ; Lee, Jaesung.
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31. Lookback option pricing using the Fourier transform B-spline method. (2014). Kaishev, Vladimir ; Haslip, Gareth G..
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32. Exponential stock models driven by tempered stable processes. (2014). Kuchler, Uwe ; Tappe, Stefan.
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33. LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS. (2013). Pascucci, Andrea ; Pagliarani, Stefano.
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34. VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS. (2013). Surkov, Vladimir ; Jaimungal, Sebastian.
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35. ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Andersen, Leif ; Lipton, Alexander.
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36. Mixing Monte-Carlo and Partial Differential Equations for Pricing Options. (2013). Loeper, Gregoire ; Lipp, Tobias ; Pironneau, Olivier.
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37. An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs. (2012). Sepp, Artur.
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38. Extension of stochastic volatility equity models with the Hull--White interest rate process. (2012). Oosterlee, Cornelis ; Grzelak, Lech ; van Weeren, Sacha.
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39. Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. (2011). Pelsser, Antoon ; van Haastrecht, Alexander.
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40. Modelling spikes and pricing swing options in electricity markets. (2009). Kluge, Tino ; Howison, Sam ; Hambly, Ben.
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41. Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance. (2009). Cartea, Álvaro ; Howison, Sam.
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42. Time-Changed Birth Processes and Multiname Credit Derivatives. (2009). Ding, Xiaowei ; Tomecek, Pascal I ; Giesecke, Kay.
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43. Option pricing with mean reversion and stochastic volatility. (2009). Lo, Yu Wai ; Wong, Hoi Ying.
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44. Pricing a class of exotic commodity options in a multi-factor jump-diffusion model. (2008). Crosby, John.
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45. Optimal Fourier Inversion in Semi-analytical Option Pricing. (2007). Kahl, Christian ; Lord, Roger.
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46. Fractional diffusion models of option prices in markets with jumps. (2007). Cartea, Álvaro ; del-Castillo-Negrete, Diego, .
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47. Pricing Multiple Interruptible-Swing Contracts. (2006). Figueroa, Marcelo.
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48. Subordinated Levy Processes and Applications to Crude Oil Options. (2005). Krichene, Noureddine.
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49. Option Pricing with Levy-Stable Processes. (2004). Cartea, Álvaro ; Howison, Sam.
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50. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
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