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 2020-11-01 to 2024-11-01.)

Article	Citations
Recent advances in reinforcement learning in finance	46
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	27
Equilibrium concepts for time‐inconsistent stopping problems in continuous time	24
Optimal make–take fees for market making regulation	20
Sharing the value‐at‐risk under distributional ambiguity	19
The Alpha‐Heston stochastic volatility model	18
Algorithmic market making in dealer markets with hedging and market impact	17
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach	16
Risk‐sensitive benchmarked asset management with expert forecasts	16
Bayes risk, elicitability, and the Expected Shortfall	14
Asset pricing with general transaction costs: Theory and numerics	14
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion	13
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	12
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	10
Crypto quanto and inverse options	10
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach	10
Weak transport for non‐convex costs and model‐independence in a fixed‐income market	10
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion	9
Robust distortion risk measures	9
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	8
Liquidity in competitive dealer markets	8
Trading with the crowd	8
While stability lasts: A stochastic model of noncustodial stablecoins	7
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	7
Calibration of local‐stochastic volatility models by optimal transport	7

A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	7
Penalty method for portfolio selection with capital gains tax	7
Double continuation regions for American options under Poisson exercise opportunities	7
An infinite‐dimensional affine stochastic volatility model	7
When does portfolio compression reduce systemic risk?	7
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	6
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	6
Portfolio liquidation games with self‐exciting order flow	6
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	6
Equilibrium price in intraday electricity markets	6
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs	6
Reinforcement learning with dynamic convex risk measures	6
Learning equilibrium mean‐variance strategy	6
Markov chains under nonlinear expectation	6
An elementary approach to the Merton problem	5
Optimal dividend payout under stochastic discounting	5
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	5
Generalized statistical arbitrage concepts and related gain strategies	5
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	5
The American put with finite‐time maturity and stochastic interest rate	5
Intra‐Horizon expected shortfall and risk structure in models with jumps	5
The Laplace transform of the integrated Volterra Wishart process	5
Deep empirical risk minimization in finance: Looking into the future	5
On buybacks, dilutions, dividends, and the pricing of stock‐based claims	4
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions	4
Asymptotic analysis of long‐term investment with two illiquid and correlated assets	4
Pro‐cyclicality beyond business cycle	4
Option pricing models without probability: a rough paths approach	4
Dynamics of market making algorithms in dealer markets: Learning and tacit collusion	4
Optimal dynamic regulation of carbon emissions market	4
Markov decision processes under model uncertainty	3
Optimal investment for retail investors	3
Relative arbitrage: Sharp time horizons and motion by curvature	3
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	3
Equilibrium investment with random risk aversion	3
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	3
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints	3
Model‐free portfolio theory: A rough path approach	3
Neural network approximation for superhedging prices	3
Preference robust distortion risk measure and its application	3
A simple microstructural explanation of the concavity of price impact	3
Epstein‐Zin utility maximization on a random horizon	3
Designing universal causal deep learning models: The geometric (Hyper)transformer	2
Robust replication of volatility and hybrid derivatives on jump diffusions	2
Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing	2
Protecting pegged currency markets from speculative investors	2
Local volatility under rough volatility	2
The log‐moment formula for implied volatility	2
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	2
Super‐replication with transaction costs under model uncertainty for continuous processes	2

Reverse stress testing: Scenario design for macroprudential stress tests	2
Risk concentration and the mean‐expected shortfall criterion	2
A model‐free approach to continuous‐time finance	2
Limits of semistatic trading strategies	2
Duality for optimal consumption with randomly terminating income	2
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	2
Effective algorithms for optimal portfolio deleveraging problem with cross impact	2
Optimal fund menus	2
Consistent time‐homogeneous modeling of SPX and VIX derivatives	2
Joint calibration to SPX and VIX options with signature‐based models	1
Inter‐temporal mutual‐fund management	1
Closed‐loop Nash competition for liquidity	1
Risk‐neutral pricing techniques and examples	1
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A general approximation method for optimal stopping and random delay	1
Perturbation analysis of sub/super hedging problems	1
Improving reinforcement learning algorithms: Towards optimal learning rate policies	1
Affine term structure models: A time‐change approach with perfect fit to market curves	1
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	1
Term structure modeling with overnight rates beyond stochastic continuity	1
Arbitrage theory in a market of stochastic dimension	1
Quantifying dimensional change in stochastic portfolio theory	1
Risk Budgeting portfolios: Existence and computation	1
Simulating risk measures via asymptotic expansions for relative errors	1
Ordering and inequalities for mixtures on risk aggregation	1
Convergence of optimal expected utility for a sequence of binomial models	1
Optimal measure preserving derivatives revisited	1
In memoriam: Marco Avellaneda (1955–2022)	1
Pathwise CVA regressions with oversimulated defaults	1
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Insurance–finance arbitrage	1
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games	1
Sig‐Wasserstein GANs for conditional time series generation	1
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