| A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 262 (1), 381-400, 2017 | 95 | 2017 |
| A General Valuation Framework for SABR and Stochastic Local Volatility Models Z Cui, JL Kirkby, D Nguyen SIAM Journal on Financial Mathematics 9 (2), 520-563, 2018 | 88 | 2018 |
| A unified approach to Bermudan and barrier options under stochastic volatility models with jumps JL Kirkby, D Nguyen, Z Cui Journal of Economic Dynamics and Control 80, 75-100, 2017 | 75 | 2017 |
| Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen Insurance: Mathematics and Economics 74, 46-62, 2017 | 71 | 2017 |
| Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models JL Kirkby, D Nguyen Annals of Finance 16, 307–351, 2020 | 61 | 2020 |
| A general framework for time-changed Markov processes and applications Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 273 (2), 785-800, 2019 | 57 | 2019 |
| Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 290 (3), 1046-1062, 2021 | 37 | 2021 |
| Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing Z Cui, JL Kirkby, D Nguyen Modeling, Stochastic Control, Optimization, and Applications, 115-146, 2019 | 37 | 2019 |
| Numerical schemes for pricing Asian options under state-dependent regime switching jump diffusion models DM Dang, D Nguyen, G Sewell Computers & Mathematics with Applications, 2016 | 30 | 2016 |
| Nonparametric Density Estimation by B-spline Duality Z Cui, JL Kirkby, D Nguyen Econometric Theory, 2020 | 26 | 2020 |
| Equity-linked guaranteed minimum death benefits with dollar cost averaging JL Kirkby, D Nguyen Insurance: Mathematics and Economics 100, 408-428, 2021 | 24 | 2021 |
| A data-driven framework for consistent financial valuation and risk measurement Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 289 (1), 381-398, 2021 | 21 | 2021 |
| Variationals Bayes on Manifolds MN Tran, HD Nguyen, D Nguyen Statistics and Computing 31 (71), 2021 | 21 | 2021 |
| An analysis of dollar cost averaging and market timing investment strategies JL Kirkby, S Mitra, D Nguyen European journal of operational research 286 (3), 1168-1186, 2020 | 20 | 2020 |
| A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions JL Kirkby, DH Nguyen, D Nguyen Applied Mathematics and Computation 386, 125472, 2020 | 18 | 2020 |
| A unified tree approach for options pricing under stochastic volatility models CC Lo, D Nguyen, K Skindilias Finance Research Letters 20, 260-268, 2017 | 17 | 2017 |
| A recombining tree method for option pricing with state dependent switching rates JX Jiang, RH Liu, D Nguyen International Journal of Theoretical and Applied Finance, 2016 | 17* | 2016 |
| An optimal trading rule under a switchable mean-reversion model D Nguyen, J Tie, Q Zhang Journal of optimization theory and applications 161, 145-163, 2014 | 17 | 2014 |
| Integral representation of probability density of stochastic volatility models and timer options Z Cui, JL Kirkby, G Lian, D Nguyen International Journal of Theoretical and Applied Finance 20 (08), 1750055, 2017 | 14 | 2017 |
| A tree approach to options pricing under regime-switching jump diffusion models RH Liu, D Nguyen International Journal of Computer Mathematics 92 (12), 2575-2595, 2015 | 14 | 2015 |
Justin Lars KirkbyGeorgia Institute of TechnologyVerified email at gatech.edu
