Finance and Stochastics

Papers
(The TQCC of Finance and Stochastics is 4. 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 2020-02-01 to 2024-02-01.)
ArticleCitations
Adapted Wasserstein distances and stability in mathematical finance33
Optimal insurance with background risk: An analysis of general dependence structures22
Term structure modelling for multiple curves with stochastic discontinuities13
On fairness of systemic risk measures11
Reinforcement learning and stochastic optimisation11
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem11
Duality theory for robust utility maximisation10
Extended weak convergence and utility maximisation with proportional transaction costs8
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes8
Scenario-based risk evaluation8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach8
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models7
Optimal reduction of public debt under partial observation of the economic growth7
Concavity, stochastic utility, and risk aversion7
The Leland–Toft optimal capital structure model under Poisson observations7
Regime switching affine processes with applications to finance6
Equilibrium asset pricing with transaction costs6
Dynamic mean–variance problem with frictions6
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models6
Additive logistic processes in option pricing6
High-frequency trading with fractional Brownian motion5
Nonlinear expectations of random sets5
Optimal consumption with reference to past spending maximum5
Markov decision processes with quasi-hyperbolic discounting5
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria4
A continuous-time asset market game with short-lived assets4
Asset prices in segmented and integrated markets4
Risk arbitrage and hedging to acceptability under transaction costs4
0.0433349609375