Stochastic processes and financial applications

Most cited papers

1. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsReview of Financial Studies · 1993 · 9,215 citations
2. A Theory of the Term Structure of Interest RatesEconometrica · 1985 · 8,583 citations
3. Theory of rational option pricingWORLD SCIENTIFIC eBooks · 2005 · 7,366 citations
4. An Intertemporal Capital Asset Pricing ModelEconometrica · 1973 · 6,818 citations
5. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time CaseThe Review of Economics and Statistics · 1969 · 5,396 citations
6. Equilibrium in a Capital Asset MarketEconometrica · 1966 · 4,972 citations