| Credit value adjustment for credit default swaps via the structural default model A Lipton, A Sepp The Journal of Credit Risk 5 (2), 127-150, 2009 | 180 | 2009 |
| Pricing options on realized variance in the Heston model with jumps in returns and volatility A Sepp Journal of Computational Finance 11 (4), 33-70, 2008 | 177 | 2008 |
| VIX option pricing in a jump-diffusion model A Sepp Risk magazine, 84-89, 2008 | 140 | 2008 |
| Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform A Sepp International Journal of Theoretical and Applied Finance 7 (2), 151-175, 2004 | 134 | 2004 |
| Extended credit grades model with stochastic volatility and jumps A Sepp Wilmott Magazine, 50-62, 2006 | 57 | 2006 |
| Pricing european-style options under jump diffusion processes with stochastic volatility: Applications of fourier transform A Sepp Kangro, R., Parna, K., and Sepp, A.,(2004)," Pricing European-Style Options …, 2003 | 46 | 2003 |
| Filling the gaps A Lipton, A Sepp Risk Magazine, October, 66-71, 2011 | 45 | 2011 |
| Fourier transform for option pricing under affine jump-diffusions: An overview A Sepp SSRN paper http://ssrn.com/abstract=1412333, 2003 | 42 | 2003 |
| Stochastic volatility models and Kelvin waves A Lipton, A Sepp Journal of Physics A: Mathematical and Theoretical 41 (34), 344012, 2008 | 33 | 2008 |
| Pricing options on realized variance in the Heston model with jumps in returns and volatility. Part II. An approximate distribution of discrete variance A Sepp Journal of Computational Finance 16 (2), 3-32, 2012 | 29 | 2012 |
| Log-normal Stochastic Volatility Model with Quadratic Drift A Sepp, P Rakhmonov International Journal of Theoretical and Applied Finance 26 (8), 1-63, 2023 | 28* | 2023 |
| An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs A Sepp Quantitative Finance 12 (7), 1119-1141, 2012 | 24 | 2012 |
| Efficient numerical PDE methods to solve calibration and pricing problems in local stochastic volatility models A Sepp Global Derivatives, 2011 | 23* | 2011 |
| Beta stochastic volatility model A Sepp, P Karasinski Risk Magazine, 66-71, 2012 | 21 | 2012 |
| Affine models in mathematical finance: an analytical approach (PhD Thesis) A Sepp Tartu University Press, 2007 | 20* | 2007 |
| Option pricing with jumps A Sepp, I Skachkov | 19 | 2003 |
| Automated market-making for fiat currencies A Lipton, A Sepp arXiv preprint arXiv:2109.12196, 2021 | 18 | 2021 |
| When you hedge discretely: optimization of sharpe ratio for delta-hedging strategy under discrete hedging and transaction costs A Sepp Journal of Investment Strategies 3 (1), 19-59, 2013 | 18 | 2013 |
| Pricing barrier options under local volatility A Sepp Math. Comp, 2002 | 18* | 2002 |
| Dynamic credit models S Inglis, A Lipton, I Savescu, A Sepp Statistics and its Interface 1 (2), 211-227, 2008 | 17* | 2008 |
Alexander LiptonFellow, MIT Connection Science and Engineeringایمیل تأیید شده در mit.edu