OOIR: Observatory of International Research

Papers

(The median citation count of Finance and Stochastics is 2. 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 2022-01-01 to 2026-01-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	25
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	18
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	16
Risk sharing under heterogeneous beliefs without convexity	14
Speeding up the Euler scheme for killed diffusions	12
Martingale Schrödinger bridges and optimal semistatic portfolios	12
Robust utility maximisation with intractable claims	11
Deep neural network expressivity for optimal stopping problems	11
Optimal dividends under a drawdown constraint and a curious square-root rule	10
Fast and slow optimal trading with exogenous information	10
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	10
Optimal consumption with reference to past spending maximum	9
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	8
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions	7
Faking Brownian motion with continuous Markov martingales	6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	6
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Mean field portfolio games	6
Hedging with physical or cash settlement under transient multiplicative price impact	5
Quasi-sure essential supremum and applications to finance	5
Speculative trading, prospect theory and transaction costs	5
Robustness of Hilbert space-valued stochastic volatility models	4
Gamma hedging and rough paths	4
A general approach for Parisian stopping times under Markov processes	4

Primal and dual optimal stopping with signatures	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Polynomial approximation of discounted moments	4
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	4
Collective arbitrage and the value of cooperation	4
Continuous-time incentives in hierarchies	4
Log-optimal and numéraire portfolios for market models stopped at a random time	4
A least-squares Monte Carlo approach to the estimation of enterprise risk	4
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	3
Optimal investment in a large population of competitive and heterogeneous agents	3
A framework of state-dependent utility optimisation with general benchmarks	3
Asset pricing with dynamically inconsistent agents	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	3
A concept of copula robustness and its applications in quantitative risk management	3
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	3
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	3
Proper solutions for Epstein–Zin stochastic differential utility	3
Kyle’s model with stochastic liquidity	2
Rogue traders	2
A continuous-time asset market game with short-lived assets	2
A class of short-term models for the oil industry that accounts for speculative oil storage	2
Pricing options on flow forwards by neural networks in a Hilbert space	2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	2
Convex ordering for stochastic Volterra equations and their Euler schemes	2
Pricing of contingent claims in large markets	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	2
A framework for measures of risk under uncertainty	2
Optimal insurance under maxmin expected utility	2
Market-to-book ratio in stochastic portfolio theory	2
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal	2
A general moment formula	2
Optimal investment and consumption for financial markets with jumps under transaction costs	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	2