On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notes. - Kristoffer J. Glover; Peter W. Duck; David P. Newton (SIAM J. Appl. Math., 2010)

A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model. - Paul V. Johnson 001; Nicholas J. Sharp; Peter W. Duck; David P. Newton (SIAM J. Financial Math., 2011)

Option Valuation through Deep Learning of Transition Probability Density. - Haozhe Su; Michael V. Tretyakov; David P. Newton (CoRR, 2021)

Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression. - Hui Tian; Andrew Yim; David P. Newton (Manag. Sci., 2021)

Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing. - Haozhe Su; Michael V. Tretyakov; David P. Newton (Manag. Sci., 2025)