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 2021-05-01 to 2025-05-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	19
Risk sharing under heterogeneous beliefs without convexity	18
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	15
Speeding up the Euler scheme for killed diffusions	15
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	15
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Robust utility maximisation with intractable claims	13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	12
Deep neural network expressivity for optimal stopping problems	12
Optimal dividends under a drawdown constraint and a curious square-root rule	9
Optimal consumption with reference to past spending maximum	8
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
The law of one price in quadratic hedging and mean–variance portfolio selection	8
Fast and slow optimal trading with exogenous information	8
Complete and competitive financial markets in a complex world	7
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Faking Brownian motion with continuous Markov martingales	5
Editorial: 25th anniversary of Finance and Stochastics	5
Mean field portfolio games	5
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	5
Reinforcement learning and stochastic optimisation	4
Quasi-sure essential supremum and applications to finance	4
The influence of economic research on financial mathematics: Evidence from the last 25 years	4
Hedging with physical or cash settlement under transient multiplicative price impact	4

Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	4
Speculative trading, prospect theory and transaction costs	4
Robustness of Hilbert space-valued stochastic volatility models	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Time-dynamic evaluations under non-monotone information generated by marked point processes	3
Optimal investment in a large population of competitive and heterogeneous agents	3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3
A general approach for Parisian stopping times under Markov processes	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Continuous-time incentives in hierarchies	3
Polynomial approximation of discounted moments	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Machine learning with kernels for portfolio valuation and risk management	2
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	2
A concept of copula robustness and its applications in quantitative risk management	2
Pricing of contingent claims in large markets	2
Asset pricing with dynamically inconsistent agents	2
A framework of state-dependent utility optimisation with general benchmarks	2
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	2
My journey through finance and stochastics	2
Convex ordering for stochastic Volterra equations and their Euler schemes	2
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	2
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	2
Market-to-book ratio in stochastic portfolio theory	2
Rogue traders	2
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models	1
A scaling limit for utility indifference prices in the discretised Bachelier model	1
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting	1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	1
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	1
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	1
In memoriam: Tomas Björk (1947–2021)	1
Existence of an equilibrium with limited participation	1
Bubbles in discrete-time models	1
Solving optimal stopping problems under model uncertainty via empirical dual optimisation	1
A class of short-term models for the oil industry that accounts for speculative oil storage	1
A continuous-time asset market game with short-lived assets	1
From Bachelier to Dupire via optimal transport	1
Optimal investment and consumption for financial markets with jumps under transaction costs	1
Entropy martingale optimal transport and nonlinear pricing–hedging duality	1
Contagious McKean–Vlasov systems with heterogeneous impact and exposure	1
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models	1
Optimal insurance under maxmin expected utility	1
Pricing options on flow forwards by neural networks in a Hilbert space	1
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	1
A framework for measures of risk under uncertainty	1
Jacobi stochastic volatility factor for the LIBOR market model	1