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 2020-03-01 to 2024-03-01.)

Article	Citations
Continuous‐time mean–variance portfolio selection: A reinforcement learning framework	55
Network valuation in financial systems	53
Distress and default contagion in financial networks	32
Equilibrium concepts for time‐inconsistent stopping problems in continuous time	21
No‐arbitrage implies power‐law market impact and rough volatility	21
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	20
Recent advances in reinforcement learning in finance	18
Optimal make–take fees for market making regulation	17
Static and semistatic hedging as contrarian or conformist bets	17
Self‐similarity in long‐horizon returns	17
The Alpha‐Heston stochastic volatility model	17
Mean–field moral hazard for optimal energy demand response management	17
Sharing the value‐at‐risk under distributional ambiguity	16
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach	15
Risk functionals with convex level sets	15
Small‐time, large‐time, and asymptotics for the Rough Heston model	14
Risk‐sensitive benchmarked asset management with expert forecasts	12
Shortfall aversion	12
Lifetime investment and consumption with recursive preferences and small transaction costs	12
Algorithmic market making in dealer markets with hedging and market impact	12
Asset pricing with general transaction costs: Theory and numerics	12
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion	10
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach	10
Size matters for OTC market makers: General results and dimensionality reduction techniques	10
Bayes risk, elicitability, and the Expected Shortfall	10

A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	10
Asset pricing with heterogeneous beliefs and illiquidity	8
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	7
Penalty method for portfolio selection with capital gains tax	7
Weak transport for non‐convex costs and model‐independence in a fixed‐income market	7
Liquidity in competitive dealer markets	7
A term structure model for dividends and interest rates	7
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion	7
Robust risk aggregation with neural networks	6
Semimartingale theory of monotone mean–variance portfolio allocation	6
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	6
Model risk in credit risk	6
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	6
Portfolio liquidation games with self‐exciting order flow	6
Intra‐Horizon expected shortfall and risk structure in models with jumps	5
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	5
An elementary approach to the Merton problem	5
Trading with the crowd	5
Markov chains under nonlinear expectation	5
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	4
Open markets	4
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	4
Calibration of local‐stochastic volatility models by optimal transport	4
The American put with finite‐time maturity and stochastic interest rate	4
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	4
On utility maximization under model uncertainty in discrete‐time markets	4
Double continuation regions for American options under Poisson exercise opportunities	4
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	4
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs	4
When does portfolio compression reduce systemic risk?	4
A martingale representation theorem and valuation of defaultable securities	4
Effective risk aversion in thin risk‐sharing markets	3
Model‐free portfolio theory: A rough path approach	3
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions	3
Preference robust distortion risk measure and its application	3
Optimal dividend payout under stochastic discounting	3
Deep empirical risk minimization in finance: Looking into the future	3
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds	3
Hedging nontradable risks with transaction costs and price impact	3
Learning equilibrium mean‐variance strategy	3
The Laplace transform of the integrated Volterra Wishart process	3
Robust XVA	3
Asymptotic analysis of long‐term investment with two illiquid and correlated assets	3
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm	3
On buybacks, dilutions, dividends, and the pricing of stock‐based claims	3
Generalized statistical arbitrage concepts and related gain strategies	3
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	3
Equilibrium price in intraday electricity markets	3
Reverse stress testing: Scenario design for macroprudential stress tests	2
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints	2

Convergence of optimal expected utility for a sequence of discrete‐time markets	2
Designing universal causal deep learning models: The geometric (Hyper)transformer	2
Consistent time‐homogeneous modeling of SPX and VIX derivatives	2
Duality for optimal consumption with randomly terminating income	2
A simple microstructural explanation of the concavity of price impact	2
	2
While stability lasts: A stochastic model of noncustodial stablecoins	2
	2
Binary funding impacts in derivative valuation	2
Crypto quanto and inverse options	2
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case	2
Reinforcement learning with dynamic convex risk measures	2
Robust replication of volatility and hybrid derivatives on jump diffusions	2
Protecting pegged currency markets from speculative investors	2
Optimal fund menus	2
Relative arbitrage: Sharp time horizons and motion by curvature	2
Option pricing models without probability: a rough paths approach	2
Limits of semistatic trading strategies	2
Pro‐cyclicality beyond business cycle	2
Dividend policy and capital structure of a defaultable firm	2
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	1
Equilibrium investment with random risk aversion	1
Super‐replication with transaction costs under model uncertainty for continuous processes	1
Effective algorithms for optimal portfolio deleveraging problem with cross impact	1
Simulating risk measures via asymptotic expansions for relative errors	1
Robust distortion risk measures	1
Convergence of optimal expected utility for a sequence of binomial models	1
Optimal investment for retail investors	1
Arbitrage theory in a market of stochastic dimension	1
In memoriam: Marco Avellaneda (1955–2022)	1
	1
Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing	1
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	1
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games	1
Perturbation analysis of sub/super hedging problems	1
Markov decision processes under model uncertainty	1
A model‐free approach to continuous‐time finance	1
Local volatility under rough volatility	1
When to sell an asset amid anxiety about drawdowns	1
An infinite‐dimensional affine stochastic volatility model	1
The log‐moment formula for implied volatility	1
	1
Dynamics of market making algorithms in dealer markets: Learning and tacit collusion	1
Optimal dynamic regulation of carbon emissions market	1
Neural network approximation for superhedging prices	1
Optimal equilibria for time‐inconsistent stopping problems in continuous time	1
	1
The asymptotic expansion of the regular discretization error of Itô integrals	1
Risk‐neutral pricing techniques and examples	1
Pathwise CVA regressions with oversimulated defaults	1