| A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options P Carr, J Crosby Quantitative Finance 10 (10), 1115-1136, 2010 | 64 | 2010 |
| A multi-factor jump-diffusion model for commodities J Crosby Quantitative Finance 8 (2), 181-200, 2008 | 57 | 2008 |
| Approximating Lévy processes with a view to option pricing J Crosby, N Le Saux, A Mijatović International Journal of Theoretical and Applied Finance 13 (01), 63-91, 2010 | 46 | 2010 |
| Implications of incomplete markets for international economies G Bakshi, M Cerrato, J Crosby The Review of Financial Studies 31 (10), 4017-4062, 2018 | 29 | 2018 |
| Relation between higher order comoments and dependence structure of equity portfolio M Cerrato, J Crosby, M Kim, Y Zhao Journal of Empirical Finance 40, 101-120, 2017 | 25 | 2017 |
| Why do UK banks securitize? M Cerrato, M Choudhry, J Crosby, JL Olukuru Available at SSRN 2051379, 2012 | 18 | 2012 |
| Variance derivatives: pricing and convergence J Crosby, M Davis Available at SSRN 2049278, 2012 | 16 | 2012 |
| Dark matter in (volatility and) equity option risk premiums G Bakshi, J Crosby, X Gao Operations Research 70 (6), 3108-3124, 2022 | 15 | 2022 |
| The joint credit risk of UK global‐systemically important banks M Cerrato, J Crosby, M Kim, Y Zhao Journal of Futures Markets 37 (10), 964-988, 2017 | 14 | 2017 |
| Jumps in commodity prices: New approaches for pricing plain vanilla options J Crosby, C Frau Energy Economics 114, 106302, 2022 | 13 | 2022 |
| Convexity adjustments in inflation-linked derivatives DC Brody, J Crosby, H Li Risk Magazine, 124-129, 2008 | 13 | 2008 |
| A new formula for the expected excess return of the market G Bakshi, J Crosby, X Gao, W Zhou Fox School of Business Research Paper, 2019 | 11 | 2019 |
| Modeling dependence structure and forecasting market risk with dynamic asymmetric copula M Cerrato, J Crosby, M Kim, Y Zhao Available at SSRN 2460168, 2015 | 10 | 2015 |
| Pricing a class of exotic commodity options in a multi-factor jump-diffusion model J Crosby Quantitative Finance 8 (5), 471-483, 2008 | 8 | 2008 |
| No good deals—no bad models N Boyarchenko, M Cerrato, J Crosby, SD Hodges FRB of New York Staff Report, 2014 | 7 | 2014 |
| Risk sharing in international economies and market incompleteness G Bakshi, M Cerrato, J Crosby University of Glasgow, Adam Smith Business School, 2015 | 6 | 2015 |
| Treasury option returns and models with unspanned risks G Bakshi, J Crosby, X Gao, JW Hansen Journal of Financial Economics 150 (3), 103736, 2023 | 5 | 2023 |
| Optimal hedging of variance derivatives J Crosby The European Journal of Finance 20 (2), 150-180, 2014 | 5 | 2014 |
| The geography of exchange rate disconnect G Bakshi, J Crosby, X Gao Available at SSRN 3763550, 2020 | 4 | 2020 |
| Correlated defaults of UK banks: dynamics and asymmetries M Cerrato, J Crosby, M Kim, Y Zhao University of Glasgow, Adam Smith Business School, 2015 | 3 | 2015 |
