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 2021-09-01 to 2025-09-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	22
Risk sharing under heterogeneous beliefs without convexity	20
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	19
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	18
Speeding up the Euler scheme for killed diffusions	14
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Deep neural network expressivity for optimal stopping problems	14
Robust utility maximisation with intractable claims	11
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	10
Fast and slow optimal trading with exogenous information	9
The law of one price in quadratic hedging and mean–variance portfolio selection	8
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
Optimal dividends under a drawdown constraint and a curious square-root rule	8
Complete and competitive financial markets in a complex world	8
Optimal consumption with reference to past spending maximum	8
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Mean field portfolio games	6
Editorial: 25th anniversary of Finance and Stochastics	6
Faking Brownian motion with continuous Markov martingales	6
Quasi-sure essential supremum and applications to finance	5
The influence of economic research on financial mathematics: Evidence from the last 25 years	5
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	5
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
Robustness of Hilbert space-valued stochastic volatility models	4
Hedging with physical or cash settlement under transient multiplicative price impact	4

Speculative trading, prospect theory and transaction costs	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Log-optimal and numéraire portfolios for market models stopped at a random time	3
A general approach for Parisian stopping times under Markov processes	3
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	3
Proper solutions for Epstein–Zin stochastic differential utility	3
Reinforcement learning and stochastic optimisation	3
Polynomial approximation of discounted moments	3
Continuous-time incentives in hierarchies	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3
Primal and dual optimal stopping with signatures	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Optimal investment in a large population of competitive and heterogeneous agents	3
A framework of state-dependent utility optimisation with general benchmarks	2
My journey through finance and stochastics	2
A continuous-time asset market game with short-lived assets	2
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	2
Rogue traders	2
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	2
Machine learning with kernels for portfolio valuation and risk management	2
Market-to-book ratio in stochastic portfolio theory	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	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 general moment formula	2
A concept of copula robustness and its applications in quantitative risk management	2
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	2
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	2
Pricing of contingent claims in large markets	2
A framework for measures of risk under uncertainty	2
Kyle’s model with stochastic liquidity	2
Convex ordering for stochastic Volterra equations and their Euler schemes	2
Asset pricing with dynamically inconsistent agents	2