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 2020-03-01 to 2024-03-01.)

Article	Citations
Adapted Wasserstein distances and stability in mathematical finance	33
Optimal insurance with background risk: An analysis of general dependence structures	23
Reinforcement learning and stochastic optimisation	13
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem	11
Duality theory for robust utility maximisation	10
Scenario-based risk evaluation	9
Extended weak convergence and utility maximisation with proportional transaction costs	8
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes	8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach	8
High-frequency trading with fractional Brownian motion	7
The Leland–Toft optimal capital structure model under Poisson observations	7
Markov decision processes with quasi-hyperbolic discounting	7
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	7
Optimal reduction of public debt under partial observation of the economic growth	7
Concavity, stochastic utility, and risk aversion	7
Additive logistic processes in option pricing	7
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	6
Optimal consumption with reference to past spending maximum	6
Equilibrium asset pricing with transaction costs	6
Dynamic mean–variance problem with frictions	6
Nonlinear expectations of random sets	5
Optimal execution with stochastic delay	4
Risk arbitrage and hedging to acceptability under transaction costs	4
Asset prices in segmented and integrated markets	4
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	4

A unified framework for robust modelling of financial markets in discrete time	4
A continuous-time asset market game with short-lived assets	4
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models	3
Change of drift in one-dimensional diffusions	3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
Optimal insurance under maxmin expected utility	3
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations	3
Partial liquidation under reference-dependent preferences	3
A splitting strategy for the calibration of jump-diffusion models	3
Filtration shrinkage, the structure of deflators, and failure of market completeness	3
Time reversal and last passage time of diffusions with applications to credit risk management	3
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	3
From Bachelier to Dupire via optimal transport	3
Infinite-dimensional polynomial processes	3
Scaled insurance cash flows: representation and computation via change of measure techniques	2
Entropy martingale optimal transport and nonlinear pricing–hedging duality	2
A least-squares Monte Carlo approach to the estimation of enterprise risk	2
Martingale Schrödinger bridges and optimal semistatic portfolios	2
Mean field portfolio games	2
Price impact in Nash equilibria	2
Set-valued risk measures as backward stochastic difference inclusions and equations	2
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	2
The influence of economic research on financial mathematics: Evidence from the last 25 years	2
Machine learning with kernels for portfolio valuation and risk management	2
A scaling limit for utility indifference prices in the discretised Bachelier model	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	2
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	2
Realised volatility and parametric estimation of Heston SDEs	2
A concept of copula robustness and its applications in quantitative risk management	1
The Riesz representation theorem and weak∗ compactness of semimartingales	1
A continuous-time model of self-protection	1
The characteristic function of Gaussian stochastic volatility models: an analytic expression	1
Complete and competitive financial markets in a complex world	1
Elicitability and identifiability of set-valued measures of systemic risk	1
A general approach for Parisian stopping times under Markov processes	1
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	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
Optimal dividends under a drawdown constraint and a curious square-root rule	1
Consumption in incomplete markets	1
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	1
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs	1
Speculative trading, prospect theory and transaction costs	1
On ruin probabilities with investments in a risky asset with a regime-switching price	1
Time-dynamic evaluations under non-monotone information generated by marked point processes	1
Jacobi stochastic volatility factor for the LIBOR market model	1
Log-optimal and numéraire portfolios for market models stopped at a random time	1
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	1