| Stochastic Lie group integrators SJA Malham, A Wiese SIAM Journal on Scientific Computing 30 (2), 597-617, 2008 | 80 | 2008 |
| Efficient strong integrators for linear stochastic systems G Lord, SJA Malham, A Wiese SIAM journal on numerical analysis 46 (6), 2892-2919, 2008 | 40 | 2008 |
| Efficient almost-exact Lévy area sampling SJA Malham, A Wiese Statistics & Probability Letters 88, 50-55, 2014 | 35 | 2014 |
| Algebraic structure of stochastic expansions and efficient simulation K Ebrahimi-Fard, A Lundervold, SJA Malham, H Munthe-Kaas, A Wiese Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2012 | 32 | 2012 |
| An introduction to SDE simulation SJA Malham, A Wiese arXiv preprint arXiv:1004.0646, 2010 | 27 | 2010 |
| Chi-square simulation of the CIR process and the Heston model SJA Malham, A Wiese International journal of theoretical and applied finance 16 (03), 1350014, 2013 | 26 | 2013 |
| Flows and stochastic Taylor series in Itô calculus K Ebrahimi-Fard, SJA Malham, F Patras, A Wiese Journal of Physics A: Mathematical and Theoretical 48 (49), 495202, 2015 | 24 | 2015 |
| The exponential Lie series for continuous semimartingales K Ebrahimi-Fard, SJA Malham, F Patras, A Wiese Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2015 | 22 | 2015 |
| Stochastic expansions and Hopf algebras SJA Malham, A Wiese Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2009 | 22 | 2009 |
| Lévy processes and quasi-shuffle algebras C Curry, K Ebrahimi-Fard, SJA Malham, A Wiese Stochastics An International Journal of Probability and Stochastic Processes …, 2014 | 13 | 2014 |
| Applications of Grassmannian flows to integrable systems A Doikou, SJA Malham, I Stylianidis, A Wiese arXiv preprint arXiv:1905.05035, 2019 | 11 | 2019 |
| Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis 1 R Korn, A Wiese ASTIN Bulletin: The Journal of the IAA 38 (2), 423-440, 2008 | 11 | 2008 |
| Algebraic structures and stochastic differential equations driven by Lévy processes C Curry, K Ebrahimi–Fard, SJA Malham, A Wiese Proceedings of the Royal Society A 475 (2221), 20180567, 2019 | 9 | 2019 |
| Positive and implicit stochastic volatility simulation W Halley, SJA Malham, A Wiese arXiv preprint arXiv:0802.4411, 2008 | 7 | 2008 |
| Positive stochastic volatility simulation W Halley, SJA Malham, A Wiese arXiv preprint arXiv:0802.4411, 2008 | 7 | 2008 |
| Series expansions and direct inversion for the Heston model SJA Malham, J Shen, A Wiese SIAM Journal on Financial Mathematics 12 (1), 487-549, 2021 | 6 | 2021 |
| Hedging stochastischer Verpflichtungen in zeitstetigen Modellen A Wiese Verlag Versicherungswirtsch., 1998 | 6 | 1998 |
| Hedging stochastischer Verpflichtungen A Wiese Workshop on Discrete Stochastic Models, 1995 | 5 | 1995 |
| Applications of Grassmannian flows to coagulation equations A Doikou, SJA Malham, I Stylianidis, A Wiese Physica D: Nonlinear Phenomena 451, 133771, 2023 | 4 | 2023 |
| Applications of Grassmannian and graph flows to coagulation systems A Doikou, SJA Malham, I Stylianidis, A Wiese arXiv preprint arXiv:2201.05487, 2022 | 4 | 2022 |
Simon J.A. MalhamAssociate Professor of Mathematics, Heriot-Watt UniversityVerified email at hw.ac.uk