OOIR: Observatory of International Research

Papers

(The median citation count of Finance and Stochastics is 1. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-11-01 to 2024-11-01.)

Article	Citations
Reinforcement learning and stochastic optimisation	15
Scenario-based risk evaluation	15
Duality theory for robust utility maximisation	12
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes	11
Additive logistic processes in option pricing	11
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	11
Optimal consumption with reference to past spending maximum	10
Markov decision processes with quasi-hyperbolic discounting	10
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	10
Concavity, stochastic utility, and risk aversion	9
Dynamic mean–variance problem with frictions	8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach	8
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	7
Infinite-dimensional polynomial processes	7
Equilibrium asset pricing with transaction costs	6
Optimal execution with stochastic delay	6
Machine learning with kernels for portfolio valuation and risk management	6
A continuous-time asset market game with short-lived assets	6
A unified framework for robust modelling of financial markets in discrete time	5
Nonlinear expectations of random sets	5
Mean field portfolio games	5
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	4
A general approach for Parisian stopping times under Markov processes	4
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	4
Change of drift in one-dimensional diffusions	4

The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	4
Risk arbitrage and hedging to acceptability under transaction costs	4
A least-squares Monte Carlo approach to the estimation of enterprise risk	4
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Price impact in Nash equilibria	3
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	3
Optimal insurance under maxmin expected utility	3
The characteristic function of Gaussian stochastic volatility models: an analytic expression	3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
Entropy martingale optimal transport and nonlinear pricing–hedging duality	3
From Bachelier to Dupire via optimal transport	3
A continuous-time model of self-protection	2
Jacobi stochastic volatility factor for the LIBOR market model	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	2
On ruin probabilities with investments in a risky asset with a regime-switching price	2
Set-valued risk measures as backward stochastic difference inclusions and equations	2
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets	2
Martingale Schrödinger bridges and optimal semistatic portfolios	2
Scaled insurance cash flows: representation and computation via change of measure techniques	2
A scaling limit for utility indifference prices in the discretised Bachelier model	2
Continuous-time incentives in hierarchies	2
The influence of economic research on financial mathematics: Evidence from the last 25 years	2
A framework for measures of risk under uncertainty	1
Log-optimal and numéraire portfolios for market models stopped at a random time	1
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs	1
Hedging with physical or cash settlement under transient multiplicative price impact	1
A concept of copula robustness and its applications in quantitative risk management	1
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments	1
Time-dynamic evaluations under non-monotone information generated by marked point processes	1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	1
Optimal dividends under a drawdown constraint and a curious square-root rule	1
Elicitability and identifiability of set-valued measures of systemic risk	1
Risk sharing under heterogeneous beliefs without convexity	1
An analytical study of participating policies with minimum rate guarantee and surrender option	1
Speculative trading, prospect theory and transaction costs	1
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	1
Optimal consumption and investment with welfare constraints	1
A class of short-term models for the oil industry that accounts for speculative oil storage	1
Present-biased lobbyists in linear–quadratic stochastic differential games	1
Optional projection under equivalent local martingale measures	1
A stochastic control perspective on term structure models with roll-over risk	1
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	1
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	1
Multi-utility representations of incomplete preferences induced by set-valued risk measures	1
Editorial: 25th anniversary of Finance and Stochastics	1
Solving optimal stopping problems under model uncertainty via empirical dual optimisation	1
Complete and competitive financial markets in a complex world	1
Discount models	1