OOIR: Observatory of International Research

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 2020-07-01 to 2024-07-01.)

Article	Citations
Optimal insurance with background risk: An analysis of general dependence structures	24
Reinforcement learning and stochastic optimisation	14
Scenario-based risk evaluation	13
Duality theory for robust utility maximisation	12
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem	11
Additive logistic processes in option pricing	10
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes	10
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	9
Optimal reduction of public debt under partial observation of the economic growth	9
Concavity, stochastic utility, and risk aversion	9
Markov decision processes with quasi-hyperbolic discounting	9
The Leland–Toft optimal capital structure model under Poisson observations	9
Robust state-dependent mean–variance portfolio selection: a closed-loop approach	8
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	8
Extended weak convergence and utility maximisation with proportional transaction costs	8
High-frequency trading with fractional Brownian motion	8
Optimal consumption with reference to past spending maximum	8
Dynamic mean–variance problem with frictions	7
Equilibrium asset pricing with transaction costs	6
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	6
Optimal execution with stochastic delay	5
A unified framework for robust modelling of financial markets in discrete time	5
A continuous-time asset market game with short-lived assets	5
Machine learning with kernels for portfolio valuation and risk management	5
Nonlinear expectations of random sets	5

Change of drift in one-dimensional diffusions	4
Risk arbitrage and hedging to acceptability under transaction costs	4
Mean field portfolio games	4
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	4
Asset prices in segmented and integrated markets	4
Infinite-dimensional polynomial processes	4