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

Stochastic Algorithms with Hermite Cubic Spline Interpolation for Global Estimation of Solutions of Boundary Value Problems. - Roman N. Makarov; Elena V. Shkarupa (SIAM J. Sci. Comput., 2007)

Exact simulation of Bessel diffusions. - Roman N. Makarov; Devin Glew (Monte Carlo Methods Appl., 2010)

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