Pricing general barrier options: a numerical approach using sharp large deviations P Baldi, L Caramellino, MG Iovino Mathematical Finance 9 (4), 293-321, 1999 | 110 | 1999 |

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach V Bally, L Caramellino, A Zanette INRIA, 2003 | 81 | 2003 |

Functional Kolmogorov equations V Bally, L Caramellino, R Cont, R Cont Stochastic integration by parts and functional Itô calculus, 183-207, 2016 | 55 | 2016 |

Stochastic integration by parts and functional Itô calculus V Bally, L Caramellino, R Cont, F Utzet, J Vives Birkhäuser, 2016 | 48 | 2016 |

Asymptotics of hitting probabilities for general one-dimensional pinned diffusions P Baldi, L Caramellino The Annals of Applied Probability 12 (3), 1071-1095, 2002 | 47 | 2002 |

Convergence and regularity of probability laws by using an interpolation method V Bally, L Caramellino | 46* | 2017 |

On the distances between probability density functions V Bally, L Caramellino | 43 | 2014 |

General Freidlin–Wentzell large deviations and positive diffusions P Baldi, L Caramellino Statistics & Probability Letters 81 (8), 1218-1229, 2011 | 43 | 2011 |

Asymptotic development for the CLT in total variation distance V Bally, L Caramellino | 36 | 2016 |

A hybrid approach for the implementation of the Heston model M Briani, L Caramellino, A Zanette IMA Journal of Management Mathematics 28 (4), 467-500, 2017 | 32 | 2017 |

Riesz transform and integration by parts formulas for random variables V Bally, L Caramellino Stochastic Processes and their Applications 121 (6), 1332-1355, 2011 | 32 | 2011 |

Non universality for the variance of the number of real roots of random trigonometric polynomials V Bally, L Caramellino, G Poly Probability Theory and Related Fields 174, 887-927, 2019 | 30 | 2019 |

A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model E Appolloni, L Caramellino, A Zanette IMA Journal of Management Mathematics 26 (4), 377-401, 2015 | 30 | 2015 |

A hybrid tree/finite-difference approach for Heston-Hull-White type models M Briani, L Caramellino, A Zanette arXiv preprint arXiv:1503.03705, 2015 | 27 | 2015 |

Dependence and aging properties of lifetimes with Schur-constant survival functions L Caramellino, F Spizzichino Probability in the Engineering and Informational Sciences 8 (1), 103-111, 1994 | 26 | 1994 |

Strassen’s law of the iterated logarithm for diffusion processes for small time L Caramellino Stochastic processes and their applications 74 (1), 1-19, 1998 | 25 | 1998 |

Positivity and lower bounds for the density of Wiener functionals V Bally, L Caramellino Potential Analysis 39, 141-168, 2013 | 24 | 2013 |

Total variation distance between stochastic polynomials and invariance principles V Bally, L Caramellino | 20 | 2019 |

Pricing complex barrier options with general features using sharp large deviation estimates P Baldi, L Caramellino, MG Iovino Monte-Carlo and Quasi-Monte Carlo Methods 1998: Proceedings of a Conference …, 2000 | 17 | 2000 |

Convergence in distribution norms in the CLT for non identical distributed random variables V Bally, L Caramellino, G Poly | 16 | 2018 |