OOIR: Observatory of International Research

Papers

(The TQCC of Finance and Stochastics is 3. 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 2021-08-01 to 2025-08-01.)

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	18
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	18
Speeding up the Euler scheme for killed diffusions	17
Robust utility maximisation with intractable claims	14
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Deep neural network expressivity for optimal stopping problems	13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	11
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Fast and slow optimal trading with exogenous information	8
Complete and competitive financial markets in a complex world	8
Optimal consumption with reference to past spending maximum	8
Optimal dividends under a drawdown constraint and a curious square-root rule	8
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
Editorial: 25th anniversary of Finance and Stochastics	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	6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
Mean field portfolio games	5
Quasi-sure essential supremum and applications to finance	5
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	5
Hedging with physical or cash settlement under transient multiplicative price impact	4
Speculative trading, prospect theory and transaction costs	4

The influence of economic research on financial mathematics: Evidence from the last 25 years	4
Robustness of Hilbert space-valued stochastic volatility models	4
Primal and dual optimal stopping with signatures	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Optimal investment in a large population of competitive and heterogeneous agents	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
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
Continuous-time incentives in hierarchies	3
Reinforcement learning and stochastic optimisation	3
Polynomial approximation of discounted moments	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3