Efficient pricing and calibration of high-dimensional basket options

The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

(2018) L. A. Grzelak et al.   QUANTITATIVE FINANCE

The collocating local volatility framework – a fresh look at efficient pricing with smile

(2018) Lech A. Grzelak   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

The multivariate Variance Gamma model: basket option pricing and calibration

(2015) Daniël Linders et al.   QUANTITATIVE FINANCE

A framework for robust measurement of implied correlation

(2014) Daniël Linders et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

A mean-reverting SDE on correlation matrices

(2012) Abdelkoddousse Ahdida et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Static super-replicating strategies for a class of exotic options

(2008) X. Chen et al.   INSURANCE MATHEMATICS & ECONOMICS