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 2022-06-01 to 2026-06-01.)

Article	Citations
Partial Information in a Mean‐Variance Portfolio Selection Game	169
Hedging of Fixing Exposure	46
Do investors gain by selling the tails of return distributions?	34
Long‐term risk with stochastic interest rates	34
Relative Arbitrage Opportunities With Interactions Among N Investors	32
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	32
Joint calibration to SPX and VIX options with signature‐based models	25
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	21
	20
Issue Information	20
The Optimal Mean–Variance Selling Problem With Finite Horizon	19
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	18
A Leland model for delta hedging in central risk books	17
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies	15
Robust distortion risk measures	15
Recent advances in reinforcement learning in finance	14
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	14
Spanning Multi‐Asset Payoffs With ReLUs	14
Risk concentration and the mean‐expected shortfall criterion	12
Elicitability and Identifiability of Tail Risk Measures	11
Learning equilibrium mean‐variance strategy	11
Mean–variance hedging of contingent claims with random maturity	11
Correction to “Neural Optimal Stopping Boundary”	11
Issue Information	10
	10

Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Issue Information	9
Issue Information	8
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	8
Issue Information	8
Algorithmic market making in dealer markets with hedging and market impact	8
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	8
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Noncausal affine processes with applications to derivative pricing	7
Optimal Liquidation With Signals: The General Propagator Case	7
Issue Information	7
Deep empirical risk minimization in finance: Looking into the future	7
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	7
Optimal investment with correlated stochastic volatility factors	7
	7
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach	6
Never, Ever Getting Started: On Prospect Theory Without Commitment	6
Improving reinforcement learning algorithms: Towards optimal learning rate policies	6
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling	6
Clustering heterogeneous financial networks	6
Preference robust distortion risk measure and its application	6
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
	5
Optimal Investment in Equity and Credit Default Swaps in the Presence of Default	5
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	5
Special issue on machine learning in finance	5
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family	5
A general approximation method for optimal stopping and random delay	5
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	4
Pro‐cyclicality beyond business cycle	4
Issue Information	4
Model‐free portfolio theory: A rough path approach	4
Risk Sharing, Measuring Variability, and Distortion Riskmetrics	4
Equilibrium Reward for Liquidity Providers in Automated Market Makers	4
Issue Information	4
Robust Bernoulli Mixture Models for Credit Portfolio Risk	4
Issue Information	4
Designing stablecoins	4
In memoriam: Marco Avellaneda (1955–2022)	3
	3
The fundamental theorem of asset pricing with and without transaction costs	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Optimal measure preserving derivatives revisited	3
Portfolio liquidation games with self‐exciting order flow	3
Decentralized Prediction Markets and Sports Books	3
Optimal Contracts for Delegated Order Execution	3
Marco Avellaneda: Mathematician and trader	3
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	3
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting 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
Issue Information	2
Risk Budgeting portfolios: Existence and computation	2
Issue Information	2
Issue Information	2
Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today	2
An Extended Merton Problem With Relaxed Benchmark Tracking	2
Sig‐Wasserstein GANs for conditional time series generation	2
Systemic risk in markets with multiple central counterparties	2
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending	2
Unwinding Stochastic Order Flow: When to Warehouse Trades	2
Equilibrium investment with random risk aversion	2
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1
Time‐inconsistent contract theory	1
Rough PDEs for Local Stochastic Volatility Models	1
Pathwise CVA regressions with oversimulated defaults	1
Term structure modeling with overnight rates beyond stochastic continuity	1
Quantitative Fundamental Theorem of Asset Pricing	1
Issue Information	1
Reinforcement Learning for Jump‐Diffusions, With Financial Applications	1
The American put with finite‐time maturity and stochastic interest rate	1
Optimal Portfolio Choice With Cross‐Impact Propagators	1
	1
	1
Naïve Markowitz policies	1
Designing universal causal deep learning models: The geometric (Hyper)transformer	1
Reinforcement learning with dynamic convex risk measures	1
	1
Corporate debt value under transition scenario uncertainty	1
A model‐free approach to continuous‐time finance	1