| Additional utility of insiders with imperfect dynamical information JM Corcuera, P Imkeller, A Kohatsu-Higa, D Nualart Finance and Stochastics 8, 437-450, 2004 | 127 | 2004 |
| Jump-adapted discretization schemes for Lévy-driven SDEs A Kohatsu-Higa, P Tankov Stochastic Processes and their Applications 120 (11), 2258-2285, 2010 | 92 | 2010 |
| Computation of Greeks for barrier and lookback options using Malliavin calculus E Gobet, A Kohatsu-Higa | 86 | 2003 |
| Rate of convergence of a particle method to the solution of the McKean--Vlasov equation F Antonelli, A Kohatsu-Higa The Annals of Applied Probability 12 (2), 423-476, 2002 | 85 | 2002 |
| Large investor trading impacts on volatility RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 173-190, 2007 | 83 | 2007 |
| Utility maximization in an insider influenced market A Kohatsu‐Higa, A Sulem Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006 | 80 | 2006 |
| Variance reduction methods for simulation of densities on Wiener space A Kohatsu-Higa, R Pettersson SIAM Journal on Numerical Analysis 40 (2), 431-450, 2002 | 73 | 2002 |
| A probabilistic interpretation of the parametrix method V Bally, A Kohatsu-Higa | 66 | 2015 |
| Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options G Bernis, E Gobet, A Kohatsu‐Higa Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003 | 60 | 2003 |
| Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme A Alfonsi, B Jourdain, A Kohatsu-Higa | 56 | 2014 |
| Lower bounds for densities of uniformly elliptic random variables on Wiener space A Kohatsu-Higa Probability theory and related fields 126 (3), 421-457, 2003 | 54 | 2003 |
| Some applications and methods of large deviations in finance and insurance RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 191-244, 2007 | 53 | 2007 |
| Malliavin calculus in finance A Kohatsu-Higa, M Montero Handbook of computational and numerical methods in finance, 111-174, 2004 | 52 | 2004 |
| A duality approach for the weak approximation of stochastic differential equations E Clément, A Kohatsu-Higa, D Lamberton | 50 | 2006 |
| Weak approximations. A Malliavin calculus approach A Kohatsu-Higa Mathematics of computation 70 (233), 135-172, 2001 | 49 | 2001 |
| Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift A Kohatsu-Higa, A Lejay, K Yasuda Journal of Computational and Applied Mathematics 326, 138-158, 2017 | 48 | 2017 |
| Weak rate of convergence for an Euler scheme of nonlinear SDE’s A Kohatsu-Higa, S Ogawa Walter de Gruyter, Berlin/New York 3 (4), 327-346, 1997 | 48 | 1997 |
| HJM: A unified approach to dynamic models for fixed income, credit and equity markets RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 1-50, 2007 | 42 | 2007 |
| Unbiased simulation of stochastic differential equations using parametrix expansions P Andersson, A Kohatsu-Higa | 39 | 2017 |
| The Euler scheme for SDE's driven by semimartingales A Kohatsu-Higa, PE Protter Pitman research notes in mathematics series, 141-141, 1994 | 39 | 1994 |
