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 2022-05-01 to 2026-05-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	20
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	18
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Speeding up the Euler scheme for killed diffusions	14
Robust utility maximisation with intractable claims	12
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	12
Deep neural network expressivity for optimal stopping problems	12
Risk sharing under heterogeneous beliefs without convexity	12
Optimal dividends under a drawdown constraint and a curious square-root rule	10
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Fast and slow optimal trading with exogenous information	10
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	8
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions	7
Faking Brownian motion with continuous Markov martingales	7
Calibration of local volatility models with stochastic interest rates using optimal transport	7
Quasi-sure essential supremum and applications to finance	6
Mean field portfolio games	6
Speculative trading, prospect theory and transaction costs	6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	6
Hedging with physical or cash settlement under transient multiplicative price impact	6
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Obituary: Dieter Sondermann (1937–2026)	5
Robustness of Hilbert space-valued stochastic volatility models	5
Polynomial approximation of discounted moments	5

Fundamental theorem of asset pricing with acceptable risk in markets with frictions	5
Gamma hedging and rough paths	5
Collective arbitrage and the value of cooperation	5
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	4
Primal and dual optimal stopping with signatures	4
Continuous-time incentives in hierarchies	4
Log-optimal and numéraire portfolios for market models stopped at a random time	4
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	4
A general approach for Parisian stopping times under Markov processes	4
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
A framework of state-dependent utility optimisation with general benchmarks	3
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	3
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	3
Coherent risk measures and uniform integrability	3
Proper solutions for Epstein–Zin stochastic differential utility	3
Asset pricing with dynamically inconsistent agents	3
Optimal investment in a large population of competitive and heterogeneous agents	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	3
Convex ordering for stochastic Volterra equations and their Euler schemes	3
Rogue traders	2
Kyle’s model with stochastic liquidity	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	2
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal	2
A concept of copula robustness and its applications in quantitative risk management	2
A general moment formula	2
Optimal investment and consumption for financial markets with jumps under transaction costs	2
A class of short-term models for the oil industry that accounts for speculative oil storage	2
Pricing of contingent claims in large markets	2
Market-to-book ratio in stochastic portfolio theory	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
A framework for measures of risk under uncertainty	2
A continuous-time asset market game with short-lived assets	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2