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 2021-04-01 to 2025-04-01.)

Article	Citations
Optimal insurance under maxmin expected utility	16
The influence of economic research on financial mathematics: Evidence from the last 25 years	15
Arbitrage problems with reflected geometric Brownian motion	14
Market-to-book ratio in stochastic portfolio theory	14
Thank you, Tomas!	13
Speculative trading, prospect theory and transaction costs	12
Asset pricing with dynamically inconsistent agents	11
Dynamic mean–variance problem with frictions	10
Quasi-sure essential supremum and applications to finance	8
Scenario-based risk evaluation	8
Convex ordering for stochastic Volterra equations and their Euler schemes	8
Hedging with physical or cash settlement under transient multiplicative price impact	7
A concept of copula robustness and its applications in quantitative risk management	7
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	7
Efficient evaluation of expectations of functions of a Lévy process and its extremum	6
Additive logistic processes in option pricing	6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
From Bachelier to Dupire via optimal transport	5
Risk-constrained portfolio choice under rank-dependent utility	5
Editorial: Special Issue in memory of Tomas Björk	5
My journey through finance and stochastics	4
Reinforcement learning and stochastic optimisation	4
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	4
An analytical study of participating policies with minimum rate guarantee and surrender option	4
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	3

Robustness of Hilbert space-valued stochastic volatility models	3
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Rogue traders	3
Speeding up the Euler scheme for killed diffusions	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Risk sharing under heterogeneous beliefs without convexity	3
Martingale Schrödinger bridges and optimal semistatic portfolios	3
Pricing of contingent claims in large markets	3
Set-valued dynamic risk measures for processes and for vectors	3