| Exact simulation of Bessel diffusions RN Makarov, D Glew Walter de Gruyter GmbH & Co. KG 16 (3-4), 283-306, 2010 | 41 | 2010 |
| Financial mathematics: a comprehensive treatment G Campolieti, RN Makarov Chapman and Hall/CRC, 2018 | 39 | 2018 |
| Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science R Melnik, R Makarov, J Belair Springer, 2017 | 22 | 2017 |
| On properties of analytically solvable families of local volatility diffusion models G Campolieti, RN Makarov Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 22 | 2012 |
| Pricing path-dependent options on state dependent volatility models with a Bessel bridge G Campolieti, R Makarov International Journal of Theoretical and Applied Finance 10 (01), 51-88, 2007 | 21 | 2007 |
| Numerical solution of quasilinear parabolic equations and backward stochastic differential equations RN Makarov Walter de Gruyter 18 (5), 397-412, 2003 | 19 | 2003 |
| Mathematical and computational approaches in advancing modern science and engineering J Bélair, IA Frigaard, H Kunze, R Makarov, R Melnik, RJ Spiteri Springer, 2016 | 18 | 2016 |
| Path integral pricing of Asian options on state-dependent volatility models G Campolieti, R Makarov Quantitative Finance 8 (2), 147-161, 2008 | 14 | 2008 |
| Pricing step options under the CEV and other solvable diffusion models G Campolieti, R Makarov, K Wouterloot International Journal of Theoretical and Applied Finance 16 (05), 1350027, 2013 | 12 | 2013 |
| Monte Carlo methods for solving boundary value problems of the second and third kinds RN Makarov Walter de Gruyter, Berlin/New York 13 (2), 117-132, 1998 | 12 | 1998 |
| Modelling default risk with occupation times R Makarov, A Metzler, Z Ni Finance Research Letters 13, 54-65, 2015 | 10 | 2015 |
| Parallel lattice implementation for option pricing under mixed state-dependent volatility models G Campolieti, R Makarov 19th International Symposium on High Performance Computing Systems and …, 2005 | 10 | 2005 |
| Stochastic algorithms with Hermite cubic spline interpolation for global estimation of solutions of boundary value problems RN Makarov, EV Shkarupa SIAM Journal on Scientific Computing 30 (1), 169-188, 2008 | 9 | 2008 |
| Modeling liquidation risk with occupation times RN Makarov International Journal of Financial Engineering 3 (04), 1650028, 2016 | 8 | 2016 |
| Interdisciplinary topics in applied mathematics, modeling and computational science MG Cojocaru, IS Kotsireas, RN Makarov, RVN Melnik, H Shodiev Springer, 2015 | 8 | 2015 |
| Solution of boundary value problem (s) of the second and third kind by Monte Carlo methods GA Mikhailov, RN Makarov Sibirskii Matematicheskii Zhurnal 38 (3), 603-614, 1997 | 8 | 1997 |
| Monte Carlo methods and applications KK Sabelfeld, K Binder, N Bouleau, AJ Chorin, I Dimov, A Dubus, ... Monte Carlo Methods 10, 2004 | 7 | 2004 |
| Solution of boundary value problems for nonlinear elliptic equations by the Monte Carlo method RN Makarov Walter de Gruyter, Berlin/New York 14 (5), 453-467, 1999 | 7 | 1999 |
| Solvable nonlinear volatility diffusion models with affine drift G Campolieti, R Makarov arXiv preprint arXiv:0907.2926, 2009 | 6 | 2009 |
| Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary RN Makarov Russian Journal of Numerical Analysis and Mathematical Modelling 16 (3), 261-278, 2001 | 6 | 2001 |
