Additional utility of insiders with imperfect dynamical information JM Corcuera, P Imkeller, A Kohatsu-Higa, D Nualart Finance and Stochastics 8, 437-450, 2004 | 125 | 2004 |

Jump-adapted discretization schemes for Lévy-driven SDEs A Kohatsu-Higa, P Tankov Stochastic Processes and their Applications 120 (11), 2258-2285, 2010 | 91 | 2010 |

Computation of Greeks for barrier and lookback options using Malliavin calculus E Gobet, A Kohatsu-Higa | 87 | 2003 |

Rate of convergence of a particle method to the solution of the McKean--Vlasov equation F Antonelli, A Kohatsu-Higa The Annals of Applied Probability 12 (2), 423-476, 2002 | 83 | 2002 |

Large investor trading impacts on volatility RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 173-190, 2007 | 80 | 2007 |

Utility maximization in an insider influenced market A Kohatsu‐Higa, A Sulem Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006 | 80 | 2006 |

Variance reduction methods for simulation of densities on Wiener space A Kohatsu-Higa, R Pettersson SIAM Journal on Numerical Analysis 40 (2), 431-450, 2002 | 73 | 2002 |

A probabilistic interpretation of the parametrix method V Bally, A Kohatsu-Higa | 65 | 2015 |

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options G Bernis, E Gobet, A Kohatsu‐Higa Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003 | 58 | 2003 |

Some applications and methods of large deviations in finance and insurance RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 191-244, 2007 | 55 | 2007 |

Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme A Alfonsi, B Jourdain, A Kohatsu-Higa | 54 | 2014 |

Weak approximations. A Malliavin calculus approach A Kohatsu-Higa Mathematics of computation 70 (233), 135-172, 2001 | 53 | 2001 |

Malliavin calculus in finance A Kohatsu-Higa, M Montero Handbook of computational and numerical methods in finance, 111-174, 2004 | 52 | 2004 |

Lower bounds for densities of uniformly elliptic random variables on Wiener space A Kohatsu-Higa Probability theory and related fields 126 (3), 421-457, 2003 | 52 | 2003 |

Weak rate of convergence for an Euler scheme of nonlinear SDE’s A Kohatsu-Higa, S Ogawa Walter de Gruyter, Berlin/New York 3 (4), 327-346, 1997 | 49 | 1997 |

Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift A Kohatsu-Higa, A Lejay, K Yasuda Journal of Computational and Applied Mathematics 326, 138-158, 2017 | 46 | 2017 |

A duality approach for the weak approximation of stochastic differential equations E Clément, A Kohatsu-Higa, D Lamberton | 45 | 2006 |

HJM: A unified approach to dynamic models for fixed income, credit and equity markets RA Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham, ... Paris-Princeton Lectures on Mathematical Finance 2004, 1-50, 2007 | 41 | 2007 |

The Euler scheme for SDE's driven by semimartingales A Kohatsu-Higa, PE Protter Pitman research notes in mathematics series, 141-141, 1994 | 39 | 1994 |

Unbiased simulation of stochastic differential equations using parametrix expansions P Andersson, A Kohatsu-Higa | 38 | 2017 |