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 2021-06-01 to 2025-06-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	22
Risk sharing under heterogeneous beliefs without convexity	20
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	16
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	15
Speeding up the Euler scheme for killed diffusions	15
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Robust utility maximisation with intractable claims	13
Deep neural network expressivity for optimal stopping problems	13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	12
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Fast and slow optimal trading with exogenous information	9
Optimal consumption with reference to past spending maximum	8
Complete and competitive financial markets in a complex world	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
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
Editorial: 25th anniversary of Finance and Stochastics	6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	5
Faking Brownian motion with continuous Markov martingales	5
Quasi-sure essential supremum and applications to finance	5
The influence of economic research on financial mathematics: Evidence from the last 25 years	5
Mean field portfolio games	5
Speculative trading, prospect theory and transaction costs	4

Reinforcement learning and stochastic optimisation	4
Hedging with physical or cash settlement under transient multiplicative price impact	4
Robustness of Hilbert space-valued stochastic volatility models	4
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Continuous-time incentives in hierarchies	3
A framework of state-dependent utility optimisation with general benchmarks	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Polynomial approximation of discounted moments	3
A general approach for Parisian stopping times under Markov processes	3
Machine learning with kernels for portfolio valuation and risk management	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
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Time-dynamic evaluations under non-monotone information generated by marked point processes	3