Local volatility dynamic models. - René Carmona 001; Sergey Nadtochiy (Finance Stochastics, 2009)

Static Hedging under Time-Homogeneous Diffusions. - Peter Carr 002; Sergey Nadtochiy (SIAM J. Financial Math., 2011)

Tangent Lévy market models. - René Carmona 001; Sergey Nadtochiy (Finance Stochastics, 2012)

An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. - Sergey Nadtochiy; Thaleia Zariphopoulou (SIAM J. Financial Math., 2013)

Simulation of Implied Volatility Surfaces via Tangent Lévy Models. - René Carmona 001; Yi Ma; Sergey Nadtochiy (SIAM J. Financial Math., 2017)

Endogenous Formation of Limit Order Books: Dynamics Between Trades. - Roman Gayduk; Sergey Nadtochiy (SIAM J. Control. Optim., 2018)

Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. - Sergey Nadtochiy; Thaleia Zariphopoulou (SIAM J. Financial Math., 2019)

Control-Stopping Games for Market Microstructure and Beyond. - Roman Gayduk; Sergey Nadtochiy (Math. Oper. Res., 2020)

Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients. - Guillermo Alonso Alvarez; Sergey Nadtochiy; Kevin Webster (SIAM J. Financial Math., 2023)