| 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 | 104 | 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 | 99 | 2018 |
| Efficient option pricing by frame duality with the fast Fourier transform JL Kirkby SIAM Journal on Financial Mathematics 6 (1), 713-747, 2015 | 94 | 2015 |
| 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 | 81 | 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 | 79 | 2017 |
| Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models JL Kirkby, D Nguyen Annals of Finance, 2020 | 72 | 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 | 61 | 2019 |
| An efficient transform method for Asian option pricing JL Kirkby SIAM Journal on Financial Mathematics 7 (1), 845-892, 2016 | 50 | 2016 |
| 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, 2021 | 49 | 2021 |
| Robust barrier option pricing by frame projection under exponential Lévy dynamics JL Kirkby Applied Mathematical Finance 24 (4), 337-386, 2017 | 42 | 2017 |
| Robust option pricing with characteristic functions and the B-spline order of density projection JL Kirkby Journal of Computational Finance 21 (2), 61-100, 2017 | 41 | 2017 |
| Continuous-time Markov chain and regime switching approximations with applications to options pricing Z Cui, J Kirkby, D Nguyen IMA Volumes in Mathematics and its Applications, Available at SSRN 3316432 …, 2019 | 39 | 2019 |
| Static hedging and pricing of exotic options with payoff frames JL Kirkby, S Deng Mathematical Finance 29 (2), 612-658, 2019 | 36 | 2019 |
| American and exotic option pricing with jump diffusions and other Levy processes J Lars Kirkby Journal of Computational Finance 22 (3), 2018 | 36 | 2018 |
| Equity-linked guaranteed minimum death benefits with dollar cost averaging JL Kirkby, D Nguyen Insurance: Mathematics and Economics 100, 408-428, 2021 | 29 | 2021 |
| Nonparametric Density Estimation by B-spline Duality Z Cui, JL Kirkby, D Nguyen Econometric Theory, 1-42, 2020 | 26 | 2020 |
| A data-driven framework for consistent financial valuation and risk measurement Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research, 2021 | 25 | 2021 |
| An Analysis Of Dollar Cost Averaging and Market Timing Investment Strategies JL Kirkby, S Mitra, D Nguyen European Journal of Operational Research, 2020 | 25 | 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, 2020 | 21 | 2020 |
| Swing Option Pricing by Dynamic Programming with B-spline Density Projection J Kirkby, S Deng International Journal of Theoretical and Applied Finance, 2019 | 18 | 2019 |
Duy NguyenAssociate Professor, Marist UniversityVerified email at marist.edu