Review of Derivatives Research

On cox processes and credit risky securities

David Lando · 1998 · 1.3K citations

Business, Economics, Finance +14

Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia, Eduardo S. Schwartz · 2002 · 952 citations

Natural Resources, Economics, Electrical Engineering +17

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

Leif B. G. Andersen, Jesper Andreasen · 2000 · 459 citations

Business, Economics, Finance +17

Option pricing when correlations are stochastic: an analytical framework

José Da Fonseca, Martino Grasselli, Claudio Tebaldi · 2007 · 199 citations

Business, Economics, Finance +14

A new approach for option pricing under stochastic volatility

Peter Carr, Jian Sun · 2007 · 162 citations

Business, Economics, Finance +16