Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models. - Giuseppe Campolieti; Roman N. Makarov (HPCS, 2005)

Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts. - Giuseppe Campolieti; Roman N. Makarov (SIAM J. Financial Math., 2017)