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 2020-11-01 to 2024-11-01.)

Article	Citations
Reinforcement learning and stochastic optimisation	15
Scenario-based risk evaluation	15
Duality theory for robust utility maximisation	12
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes	11
Additive logistic processes in option pricing	11
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	11
Optimal consumption with reference to past spending maximum	10
Markov decision processes with quasi-hyperbolic discounting	10
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	10
Concavity, stochastic utility, and risk aversion	9
Dynamic mean–variance problem with frictions	8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach	8
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	7
Infinite-dimensional polynomial processes	7
Equilibrium asset pricing with transaction costs	6
Optimal execution with stochastic delay	6
Machine learning with kernels for portfolio valuation and risk management	6
A continuous-time asset market game with short-lived assets	6
Nonlinear expectations of random sets	5
Mean field portfolio games	5
A unified framework for robust modelling of financial markets in discrete time	5
Change of drift in one-dimensional diffusions	4
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 costs	4
A least-squares Monte Carlo approach to the estimation of enterprise risk	4

On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	4
A general approach for Parisian stopping times under Markov processes	4
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	4