| Stochastic calculus with respect to Gaussian processes E Alòs, O Mazet, D Nualart The Annals of Probability 29 (2), 766-801, 2001 | 668 | 2001 |
| On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility E Alos, JA León, J Vives Finance and stochastics 11 (4), 571-589, 2007 | 306 | 2007 |
| Stochastic integration with respect to the fractional Brownian motion E Alos, D Nualart Stochastics and Stochastic Reports 75 (3), 129-152, 2003 | 294 | 2003 |
| Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12 E Alòs, O Mazet, D Nualart Stochastic processes and their applications 86 (1), 121-139, 2000 | 238 | 2000 |
| Malliavin differentiability of the Heston volatility and applications to option pricing E Alos, CO Ewald Advances in Applied Probability 40 (1), 144-162, 2008 | 124 | 2008 |
| A generalization of the Hull and White formula with applications to option pricing approximation E Alòs Finance and Stochastics 10 (3), 353-365, 2006 | 99 | 2006 |
| Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than 1/2 E Alos, JA León, D Nualart Taiwanese Journal of Mathematics 5 (3), 609-632, 2001 | 82 | 2001 |
| Stochastic partial differential equations with Dirichlet white-noise boundary conditions E Alòs, S Bonaccorsi Annales de l'IHP Probabilités et statistiques 38 (2), 125-154, 2002 | 73 | 2002 |
| A decomposition formula for option prices in the Heston model and applications to option pricing approximation E Alòs Finance and Stochastics 16, 403-422, 2012 | 71 | 2012 |
| An extension of Itô's formula for anticipating processes E Alòs, D Nualart Journal of Theoretical Probability 11 (2), 493-514, 1998 | 54 | 1998 |
| Exponentiation of conditional expectations under stochastic volatility E Alos, J Gatheral, R Radoičić Quantitative Finance 20 (1), 13-27, 2020 | 43 | 2020 |
| Stochastic heat equation with random coefficients E Alòs, JA León, D Nualart Probability theory and related fields 115, 41-94, 1999 | 41 | 1999 |
| Malliavin calculus in finance: Theory and practice E Alòs, DG Lorite Chapman and Hall/CRC, 2021 | 40 | 2021 |
| On Smile Properties of Volatility Derivatives: Understanding the VIX Skew E Alòs, D García-Lorite, AM Gonzalez SIAM Journal on Financial Mathematics 13 (1), 32-69, 2022 | 30* | 2022 |
| A fractional Heston model with E Alòs, Y Yang Stochastics 89 (1), 384-399, 2017 | 30* | 2017 |
| Anticipating stochastic Volterra equations E Alòs, D Nualart Stochastic processes and their applications 72 (1), 73-95, 1997 | 30 | 1997 |
| Calibration of stochastic volatility models via second-order approximation: The Heston case E Alòs, R De Santiago, J Vives International Journal of Theoretical and Applied Finance 18 (06), 1550036, 2015 | 29* | 2015 |
| A Hull and White formula for a general stochastic volatility jump‐diffusion model with applications to the study of the short‐time behavior of the implied volatility E Alos, JA León, M Pontier, J Vives International Journal of Stochastic Analysis 2008 (1), 359142, 2008 | 29 | 2008 |
| Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach E Alòs, K Shiraya Finance and Stochastics 23 (2), 423-447, 2019 | 27 | 2019 |
| An anticipating Itô formula for Lévy processes E Alós, JA León, J Vives ALEA Lat. Am. J. Probab. Math. Stat 4, 2008 | 27 | 2008 |
David NualartProfessor, The University of KansasZweryfikowany adres z math.ku.edu
