Finance and Stochastics

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.)
ArticleCitations
Risk-constrained portfolio choice under rank-dependent utility22
Risk sharing under heterogeneous beliefs without convexity20
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations16
Optimal reinsurance via BSDEs in a partially observable model with jump clusters15
Speeding up the Euler scheme for killed diffusions15
Martingale Schrödinger bridges and optimal semistatic portfolios14
Robust utility maximisation with intractable claims13
Deep neural network expressivity for optimal stopping problems13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information12
The law of one price in quadratic hedging and mean–variance portfolio selection10
Fast and slow optimal trading with exogenous information9
Optimal consumption with reference to past spending maximum8
Complete and competitive financial markets in a complex world8
Optimal dividends under a drawdown constraint and a curious square-root rule8
An Italian perspective on the development of financial mathematics from 1992 to 20088
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model7
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems6
Editorial: 25th anniversary of Finance and Stochastics6
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity5
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models5
Faking Brownian motion with continuous Markov martingales5
Quasi-sure essential supremum and applications to finance5
The influence of economic research on financial mathematics: Evidence from the last 25 years5
Mean field portfolio games5
Speculative trading, prospect theory and transaction costs4
Reinforcement learning and stochastic optimisation4
Hedging with physical or cash settlement under transient multiplicative price impact4
Robustness of Hilbert space-valued stochastic volatility models4
Log-optimal and numéraire portfolios for market models stopped at a random time3
Continuous-time incentives in hierarchies3
A framework of state-dependent utility optimisation with general benchmarks3
A least-squares Monte Carlo approach to the estimation of enterprise risk3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions3
Polynomial approximation of discounted moments3
A general approach for Parisian stopping times under Markov processes3
Machine learning with kernels for portfolio valuation and risk management3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach3
Time-dynamic evaluations under non-monotone information generated by marked point processes3
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