Finance and Stochastics

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 2020-06-01 to 2024-06-01.)
ArticleCitations
Adapted Wasserstein distances and stability in mathematical finance34
Optimal insurance with background risk: An analysis of general dependence structures24
Reinforcement learning and stochastic optimisation14
Duality theory for robust utility maximisation12
Scenario-based risk evaluation12
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem11
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes10
Markov decision processes with quasi-hyperbolic discounting9
Concavity, stochastic utility, and risk aversion9
Extended weak convergence and utility maximisation with proportional transaction costs8
The Leland–Toft optimal capital structure model under Poisson observations8
Optimal consumption with reference to past spending maximum8
Additive logistic processes in option pricing8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach8
Optimal reduction of public debt under partial observation of the economic growth8
High-frequency trading with fractional Brownian motion7
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models7
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models7
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria6
Dynamic mean–variance problem with frictions6
Equilibrium asset pricing with transaction costs6
A continuous-time asset market game with short-lived assets5
Nonlinear expectations of random sets5
Optimal execution with stochastic delay5
Change of drift in one-dimensional diffusions4
Infinite-dimensional polynomial processes4
Mean field portfolio games4
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$4
Risk arbitrage and hedging to acceptability under transaction costs4
A unified framework for robust modelling of financial markets in discrete time4
Asset prices in segmented and integrated markets4
Realised volatility and parametric estimation of Heston SDEs4
Machine learning with kernels for portfolio valuation and risk management4
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