Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model. - Dmitry Kramkov; Sergio Pulido (SIAM J. Financial Math., 2016)

The Jacobi stochastic volatility model. - Damien Ackerer; Damir Filipovic; Sergio Pulido (Finance Stochastics, 2018)

American Options in the Volterra Heston Model. - Etienne Chevalier; Sergio Pulido; Elizabeth Zúniga (SIAM J. Financial Math., 2022)