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Document Title	Authors	Year	Citations (Scopus)
Analytical valuation of nonlinear payoff volatility derivatives with discrete sampling under a mixed fractional geometric Brownian motion model	Sanae Rujivan	2026	1
Finite-Series Solutions of Hybrid PDE Systems for Conditional Moments of Regime-Switching Extended CEV Processes with Applications in Finance	Sanae Rujivan, Boualem Djehiche, Parun Juntanon	2026	0
Analytical Pricing of Volatility-Linked Financial Derivatives Under the Sub-Mixed Fractional Brownian Motion Framework in a No-Arbitrage Complete Market	Sanae Rujivan, Touch Toem, Angelo E. Marasigan	2026	0
Analytical Pricing of Discretely Sampled Volatility Swaps Under the 4/2 Stochastic Volatility Model	Sanae Rujivan, Seyha Lim, Nopporn Thamrongrat, Angelo E. Marasigan	2026	0
Analytical Pricing of Commodity Futures with Correlated Jumps and Seasonal Effects: An Empirical Study of Thailand’s Natural Rubber Market	Athinan Sutchada, Sanae Rujivan, Boualem Djehiche	2025	1
Optimal Portfolio Construction Using the Realized Volatility Concept: Empirical Evidence from the Stock Exchange of Thailand	Thapakon Khuatongkeaw, Athinan Sutchada, Sanae Rujivan	2025	0
An Analytical Formula for the Transition Density of a Conic Combination of Independent Squared Bessel Processes with Time-Dependent Dimensions and Financial Applications	Chhaunny Chhum, Sanae Rujivan, Boualem Djehiche, Nopporn Thamrongrat	2025	2
Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications	Sanae Rujivan, Boualem Djehiche, Nopporn Thamrongrat, Parun Juntanon	2025	3
Discounted-likelihood valuation of variance and volatility swaps	Napat Rujeerapaiboon, Sanae Rujivan, Hongdan Chen	2025	1
Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process	Sanae Rujivan	2025	6
Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension	Athinan Sutchada, Kittisak Chumpong, Napat Rujeerapaiboon, Sanae Rujivan	2023	11
Anãpplication of solutions of linear difference equations for obtaining the conditional moments of the trending Ornstein-Uhlenbeck processes	Sanae Rujivan, Kong Kanjanasopon, Nopporn Thamrongrat	2023	1
Closed-form formula for conditional moments of generalized nonlinear drift CEV process	Sanae Rujivan, Phiraphat Sutthimat, Khamron Mekchay	2022	15
Simple Analytical Formulas for Pricing and Hedging Moment Swaps	Kittisak Chumpong, Sanae Rujivan, Khamron Mekchay, Nopporn Thamrongrat	2022	5
Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process	Sanae Rujivan, Phiraphat Sutthimat, Khamron Mekchay, Udomsak Rakwongwan	2022	11
Valuation of volatility derivatives with time-varying volatility: An analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case	Sanae Rujivan	2022	6
An Iterative Approach for Obtaining a Closed-form Expansion for the Conditional Expectations of the Extended Cox-Ingersoll-Ross Process	Sanae Rujivan, Nopporn Thamrongrat	2022	3
A closed-form expansion for the conditional expectations of the extended CIR process	Sanae Rujivan, Nopporn Thamrongrat	2022	1
ANALYTICALLY PRICING VARIANCE SWAPS IN COMMODITY DERIVATIVE MARKETS UNDER STOCHASTIC CONVENIENCE YIELDS*	Sanae Rujivan	2021	13
An analytical formula for pricing interest rate swaps in terms of bond prices under the extended cox-ingersoll ross model	Sanae Rujivan, Nopporn Thamrongrat	2021	8
AN ANALYTICAL OPTION PRICING FORMULA for MEAN-REVERTING ASSET with TIME-DEPENDENT PARAMETER	P. Nonsoong, S. Rujivan, K. Mekchay	2021	7
Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives	Sanae Rujivan, Udomsak Rakwongwan	2021	18
A visualization of air pollution distribution over an observed area surrounded by mountains: A computational approach	Piyanut Tangmanussukum, Sanae Rujivan, Udomsak Rakwongwan	2021	0
An explicit solution of a recurrence differential equation and its application in determining the conditional moments of quadratic variance diffusion processes	Sanae Rujivan, Kiattisak Prathom	2021	2
The numerical visualization of air pollution propagation from a single generator to an observed area	Arnon Archankul, Perter Bastian, Sanae Rujivan, Udomsak Rakwongwan	2021	1
A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process	Kittisak Chumpong, Sanae Rujivan, Khamron Mekchay	2020	12
A closed-form formula for the conditional expectation of the extended CIR process	Sanae Rujivan, Nopporn Thamrongrat	2020	7
Explicit Formula for Conditional Expectations of Product of Polynomial and Exponential Function of Affine Transform of Extended Cox-Ingersoll-Ross Process	Sanae Rujivan, Phiraphat Sutthimat, Khamron Mekchay	2018	12
A Closed-Form Formula for Pricing Variance Swaps on Commodities	Anurak Weraprasertsakun, Sanae Rujivan	2017	8
A closed-form formula for the conditional moments of the extended CIR process	Sanae Rujivan	2016	26
Pricing discretely-sampled variance swaps on commodities	Chonnawat Chunhawiksit, Sanae Rujivan	2016	5
A NOVEL ANALYTICAL APPROACH for PRICING DISCRETELY SAMPLED GAMMA SWAPS in the HESTON MODEL	Sanae Rujivan	2016	6
Parameter estimation of one-dimensional itô processes by LTDRM	Piriya Prunglerdbuathongy, Sanae Rujivanx, Khamron Mekchayz	2015	1
A simple closed-form formula for pricing discretely-sampled variance swaps under the heston model	Sanae Rujivan, Song Ping Zhu	2014	18
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility	Sanae Rujivan, Song Ping Zhu	2012	30
Thermodynamics of adsorption of laccaic acid onto chitosan and associated dye toxicity studies	Sanae Rujivan, Udomsak Darumas, Montra Chairat	2010	7