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 2021-03-01 to 2025-03-01.)

Article	Citations
Optimal insurance under maxmin expected utility	16
The influence of economic research on financial mathematics: Evidence from the last 25 years	15
Market-to-book ratio in stochastic portfolio theory	14
Additive logistic processes in option pricing	12
Scenario-based risk evaluation	12
Hedging with physical or cash settlement under transient multiplicative price impact	10
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	10
Arbitrage problems with reflected geometric Brownian motion	8
A concept of copula robustness and its applications in quantitative risk management	8
Asset pricing with dynamically inconsistent agents	7
Speculative trading, prospect theory and transaction costs	7
Thank you, Tomas!	7
Risk-constrained portfolio choice under rank-dependent utility	6
Quasi-sure essential supremum and applications to finance	6
Convex ordering for stochastic Volterra equations and their Euler schemes	6
Infinite-dimensional polynomial processes	6
Editorial: Special Issue in memory of Tomas Björk	5
Dynamic mean–variance problem with frictions	5
Risk sharing under heterogeneous beliefs without convexity	4
An analytical study of participating policies with minimum rate guarantee and surrender option	4
My journey through finance and stochastics	4
From Bachelier to Dupire via optimal transport	4
Reinforcement learning and stochastic optimisation	4
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	4
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	4

Martingale Schrödinger bridges and optimal semistatic portfolios	3
Robustness of Hilbert space-valued stochastic volatility models	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Speeding up the Euler scheme for killed diffusions	3
Rogue traders	3
Pricing of contingent claims in large markets	3
Continuous-time incentives in hierarchies	2
Deep neural network expressivity for optimal stopping problems	2
On the Guyon–Lekeufack volatility model	2
Set-valued dynamic risk measures for processes and for vectors	2
Polynomial approximation of discounted moments	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2
In memoriam: Tomas Björk (1947–2021)	2
Robust utility maximisation with intractable claims	2
Duality theory for robust utility maximisation	2
A general approach for Parisian stopping times under Markov processes	2
Duality in optimal consumption–investment problems with alternative data	1
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	1
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	1
A framework for measures of risk under uncertainty	1
Optional projection under equivalent local martingale measures	1
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	1
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	1
Optimal investment and consumption for financial markets with jumps under transaction costs	1
Discount models	1
A càdlàg rough path foundation for robust finance	1
Optimal consumption with reference to past spending maximum	1
Bubbles in discrete-time models	1
Optimal dividends under a drawdown constraint and a curious square-root rule	1
Present-biased lobbyists in linear–quadratic stochastic differential games	1
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models	1
Jacobi stochastic volatility factor for the LIBOR market model	1
A stochastic control perspective on term structure models with roll-over risk	1
A continuous-time asset market game with short-lived assets	1
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets	1
Optimal execution with multiplicative price impact and incomplete information on the return	1
Cost-efficient payoffs under model ambiguity	1
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	1
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting	1