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 2022-08-01 to 2026-08-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	22
Speeding up the Euler scheme for killed diffusions	20
Risk sharing under heterogeneous beliefs without convexity	16
Martingale Schrödinger bridges and optimal semistatic portfolios	15
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	14
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	14
Deep neural network expressivity for optimal stopping problems	12
Robust utility maximisation with intractable claims	12
Nash equilibrium between brokers and traders	12
The law of one price in quadratic hedging and mean–variance portfolio selection	11
Optimal dividends under a drawdown constraint and a curious square-root rule	11
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	9
Fast and slow optimal trading with exogenous information	8
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	8
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	7
Hedging with physical or cash settlement under transient multiplicative price impact	7
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions	7
Faking Brownian motion with continuous Markov martingales	7
Mean field portfolio games	7
Calibration of local volatility models with stochastic interest rates using optimal transport	7
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	7
Speculative trading, prospect theory and transaction costs	6
Quasi-sure essential supremum and applications to finance	6
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	5
Obituary: Dieter Sondermann (1937–2026)	5

Robustness of Hilbert space-valued stochastic volatility models	5
Collective arbitrage and the value of cooperation	5
Gamma hedging and rough paths	4
Continuous-time incentives in hierarchies	4
Coherent risk measures and uniform integrability	4
Polynomial approximation of discounted moments	4
Primal and dual optimal stopping with signatures	4
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	4
A general approach for Parisian stopping times under Markov processes	4
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	4
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	4