A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. - Allan Jonathan da Silva; Jack Baczynski; José V. M. Vicente (J. Comput. Appl. Math., 2016)

Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. - Allan Jonathan da Silva; Jack Baczynski; João Felipe da Silva Bragança (ICCS (5), 2019)

Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. - Allan Jonathan da Silva; Jack Baczynski (Comput. Manag. Sci., 2024)