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 2021-05-01 to 2025-05-01.)

Article	Citations
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	75
Issue Information	36
	24
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	19
Joint calibration to SPX and VIX options with signature‐based models	18
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	13
Optimal investment for retail investors	13
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	12
Long‐term risk with stochastic interest rates	12
A Leland model for delta hedging in central risk books	12
Do investors gain by selling the tails of return distributions?	12
Recent advances in reinforcement learning in finance	12
Robust distortion risk measures	11
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	11
Spanning Multi‐Asset Payoffs With ReLUs	10
An elementary approach to the Merton problem	10
Risk concentration and the mean‐expected shortfall criterion	9
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	9
Learning equilibrium mean‐variance strategy	9
When does portfolio compression reduce systemic risk?	8
Issue Information	8
Mean–variance hedging of contingent claims with random maturity	8
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	7
Duality for optimal consumption with randomly terminating income	7
Issue Information	7

Issue Information	7
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	6
Deep empirical risk minimization in finance: Looking into the future	6
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	6
Issue Information	6
Noncausal affine processes with applications to derivative pricing	6
Algorithmic market making in dealer markets with hedging and market impact	6
Preference robust distortion risk measure and its application	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Clustering heterogeneous financial networks	5
Special issue on machine learning in finance	5
Optimal investment with correlated stochastic volatility factors	5
Issue Information	5
Optimal dividend payout under stochastic discounting	5
Convergence of optimal expected utility for a sequence of binomial models	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	4
Model‐free portfolio theory: A rough path approach	4
	4
Fairness principles for insurance contracts in the presence of default risk	4
On buybacks, dilutions, dividends, and the pricing of stock‐based claims	4
A general approximation method for optimal stopping and random delay	4
Perturbation analysis of sub/super hedging problems	4
Pro‐cyclicality beyond business cycle	4
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	3
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	3
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	3
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints	3
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	3
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	3
Designing stablecoins	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	3
Issue Information	3
Issue Information	3
In memoriam: Marco Avellaneda (1955–2022)	3
Issue Information	2
Equilibrium investment with random risk aversion	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Systemic risk in markets with multiple central counterparties	2
Optimal measure preserving derivatives revisited	2
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2
Sig‐Wasserstein GANs for conditional time series generation	2
A simple microstructural explanation of the concavity of price impact	2
Optimal Contracts for Delegated Order Execution	2
Portfolio liquidation games with self‐exciting order flow	2
The fundamental theorem of asset pricing with and without transaction costs	2
Issue Information	2
Issue Information	2

Marco Avellaneda: Mathematician and trader	2
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	2
Time‐inconsistent contract theory	1
Reinforcement learning with dynamic convex risk measures	1
The rough Hawkes Heston stochastic volatility model	1
	1
A model‐free approach to continuous‐time finance	1
	1
Designing universal causal deep learning models: The geometric (Hyper)transformer	1
Risk Budgeting portfolios: Existence and computation	1
Issue Information	1
The American put with finite‐time maturity and stochastic interest rate	1
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1
While stability lasts: A stochastic model of noncustodial stablecoins	1
Quantitative Fundamental Theorem of Asset Pricing	1
Corporate debt value under transition scenario uncertainty	1
Rough PDEs for Local Stochastic Volatility Models	1
Term structure modeling with overnight rates beyond stochastic continuity	1
In memoriam: Mark H. A. Davis and his contributions to mathematical finance	1
	1
	1
Equilibrium price in intraday electricity markets	1
Naïve Markowitz policies	1
Pathwise CVA regressions with oversimulated defaults	1