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 2020-11-01 to 2024-11-01.)
ArticleCitations
Recent advances in reinforcement learning in finance46
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics27
Equilibrium concepts for time‐inconsistent stopping problems in continuous time24
Optimal make–take fees for market making regulation20
Sharing the value‐at‐risk under distributional ambiguity19
The Alpha‐Heston stochastic volatility model18
Algorithmic market making in dealer markets with hedging and market impact17
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach16
Risk‐sensitive benchmarked asset management with expert forecasts16
Bayes risk, elicitability, and the Expected Shortfall14
Asset pricing with general transaction costs: Theory and numerics14
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion13
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets12
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