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 2021-02-01 to 2025-02-01.)

Article	Citations
Optimal insurance under maxmin expected utility	15
A concept of copula robustness and its applications in quantitative risk management	15
The influence of economic research on financial mathematics: Evidence from the last 25 years	13
Market-to-book ratio in stochastic portfolio theory	12
Arbitrage problems with reflected geometric Brownian motion	11
Speculative trading, prospect theory and transaction costs	10
Thank you, Tomas!	10
Asset pricing with dynamically inconsistent agents	8
Hedging with physical or cash settlement under transient multiplicative price impact	8
Quasi-sure essential supremum and applications to finance	7
Risk-constrained portfolio choice under rank-dependent utility	7
Convex ordering for stochastic Volterra equations and their Euler schemes	7
Scenario-based risk evaluation	6
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	6
Infinite-dimensional polynomial processes	6
Dynamic mean–variance problem with frictions	6
Editorial: Special Issue in memory of Tomas Björk	5
Additive logistic processes in option pricing	5
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	4
Robustness of Hilbert space-valued stochastic volatility models	4
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	4
An analytical study of participating policies with minimum rate guarantee and surrender option	4
From Bachelier to Dupire via optimal transport	4
My journey through finance and stochastics	4
Martingale Schrödinger bridges and optimal semistatic portfolios	4

Reinforcement learning and stochastic optimisation	3
Rogue traders	3
Risk sharing under heterogeneous beliefs without convexity	3
Pricing of contingent claims in large markets	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	3
Speeding up the Euler scheme for killed diffusions	3
Polynomial approximation of discounted moments	2
Continuous-time incentives in hierarchies	2
A càdlàg rough path foundation for robust finance	2
Log-optimal and numéraire portfolios for market models stopped at a random time	2
Duality theory for robust utility maximisation	2
Deep neural network expressivity for optimal stopping problems	2
A general approach for Parisian stopping times under Markov processes	2
Set-valued dynamic risk measures for processes and for vectors	2
In memoriam: Tomas Björk (1947–2021)	2
Robust utility maximisation with intractable claims	2
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting	1
A stochastic control perspective on term structure models with roll-over risk	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
Duality in optimal consumption–investment problems with alternative data	1
Present-biased lobbyists in linear–quadratic stochastic differential games	1
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	1
Optimal execution with multiplicative price impact and incomplete information on the return	1
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	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 dividends under a drawdown constraint and a curious square-root rule	1
Jacobi stochastic volatility factor for the LIBOR market model	1
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	1
Entropy martingale optimal transport and nonlinear pricing–hedging duality	1
Optimal consumption with reference to past spending maximum	1
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	1
On the Guyon–Lekeufack volatility model	1
Bubbles in discrete-time models	1
Discount models	1
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	1
Cost-efficient payoffs under model ambiguity	1