Mathematical Finance

Papers
(The H4-Index of Mathematical Finance is 12. 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 2021-05-01 to 2025-05-01.)
ArticleCitations
Consistent investment of sophisticated rank‐dependent utility agents in continuous time75
Issue Information36
24
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems19
Joint calibration to SPX and VIX options with signature‐based models18
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions13
Optimal investment for retail investors13
Do investors gain by selling the tails of return distributions?12
Recent advances in reinforcement learning in finance12
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules12
Long‐term risk with stochastic interest rates12
A Leland model for delta hedging in central risk books12
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