OOIR: Observatory of International Research

Papers

(The median citation count of Mathematical Finance is 1. 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 2022-08-01 to 2026-08-01.)

Article	Citations
Partial Information in a Mean‐Variance Portfolio Selection Game	181
Hedging of Fixing Exposure	48
Quantum Monte Carlo Algorithm for Option Pricing and Its Complexity Analysis	36
Do investors gain by selling the tails of return distributions?	35
Long‐term risk with stochastic interest rates	35
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	34
Issue Information	30
	24
Relative Arbitrage Opportunities With Interactions Among N Investors	22
The Optimal Mean–Variance Selling Problem With Finite Horizon	22
Joint calibration to SPX and VIX options with signature‐based models	19
A Leland model for delta hedging in central risk books	18
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	18
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies	15
Recent advances in reinforcement learning in finance	15
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	14
Robust distortion risk measures	13
Spanning Multi‐Asset Payoffs With ReLUs	13
Instability and Efficiency of Non‐Cooperative Games	13
Correction to “Neural Optimal Stopping Boundary”	11
Mean–variance hedging of contingent claims with random maturity	11
Learning equilibrium mean‐variance strategy	11
The ESG Rating Game: Deviation, Disagreement, and Greenwashing	11
Risk concentration and the mean‐expected shortfall criterion	11
Elicitability and Identifiability of Tail Risk Measures	11

Issue Information	10
Issue Information	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
	9
	9
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	8
Issue Information	8
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	8
Algorithmic market making in dealer markets with hedging and market impact	7
Deep empirical risk minimization in finance: Looking into the future	7
Optimal Liquidation With Signals: The General Propagator Case	7
Never, Ever Getting Started: On Prospect Theory Without Commitment	7
Noncausal affine processes with applications to derivative pricing	7
Issue Information	7
Clustering heterogeneous financial networks	6
	6
Preference robust distortion risk measure and its application	6
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	6
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling	6
Improving reinforcement learning algorithms: Towards optimal learning rate policies	6
Optimal investment with correlated stochastic volatility factors	6
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach	5
A general approximation method for optimal stopping and random delay	5
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family	5
Special issue on machine learning in finance	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
Optimal Investment in Equity and Credit Default Swaps in the Presence of Default	4
Model‐free portfolio theory: A rough path approach	4
Robust Bernoulli Mixture Models for Credit Portfolio Risk	4
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	4
Pro‐cyclicality beyond business cycle	4
Issue Information	4
Optimal Execution Among N Traders With Transient Price Impact	4
Risk Sharing, Measuring Variability, and Distortion Riskmetrics	4
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	4
Issue Information	4
Optimal Contracts for Delegated Order Execution	3
Issue Information	3
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	3
Marco Avellaneda: Mathematician and trader	3
	3
Designing stablecoins	3
In memoriam: Marco Avellaneda (1955–2022)	3
Optimal measure preserving derivatives revisited	3
The fundamental theorem of asset pricing with and without transaction costs	3
Equilibrium Reward for Liquidity Providers in Automated Market Makers	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Decentralized Prediction Markets and Sports Books	3
Portfolio liquidation games with self‐exciting order flow	3

Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	2
Unwinding Stochastic Order Flow: When to Warehouse Trades	2
Sig‐Wasserstein GANs for conditional time series generation	2
Issue Information	2
Systemic risk in markets with multiple central counterparties	2
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending	2
Risk Budgeting portfolios: Existence and computation	2
Issue Information	2
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today	2
Reinforcement Learning for Jump‐Diffusions, With Financial Applications	1
Equilibrium investment with random risk aversion	1
Issue Information	1
A model‐free approach to continuous‐time finance	1
	1
Quantitative Fundamental Theorem of Asset Pricing	1
	1
Rough PDEs for Local Stochastic Volatility Models	1
An Extended Merton Problem With Relaxed Benchmark Tracking	1
	1
Time‐inconsistent contract theory	1
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1
Regulation in a Mean‐Field Investment Game With Climate Damage	1
Term structure modeling with overnight rates beyond stochastic continuity	1
The American put with finite‐time maturity and stochastic interest rate	1
Reinforcement learning with dynamic convex risk measures	1
Issue Information	1
Optimal Portfolio Choice With Cross‐Impact Propagators	1
Corporate debt value under transition scenario uncertainty	1
Pathwise CVA regressions with oversimulated defaults	1
Naïve Markowitz policies	1
	1
Designing universal causal deep learning models: The geometric (Hyper)transformer	1