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 2022-05-01 to 2026-05-01.)

Article	Citations
Hedging of Fixing Exposure	164
Partial Information in a Mean‐Variance Portfolio Selection Game	46
Long‐term risk with stochastic interest rates	33
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	33
Do investors gain by selling the tails of return distributions?	33
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	32
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	24
Issue Information	21
	20
Joint calibration to SPX and VIX options with signature‐based models	17
Robust distortion risk measures	16
A Leland model for delta hedging in central risk books	16
Spanning Multi‐Asset Payoffs With ReLUs	15
Recent advances in reinforcement learning in finance	15
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	15
Learning equilibrium mean‐variance strategy	14
Risk concentration and the mean‐expected shortfall criterion	14
Correction to “Neural Optimal Stopping Boundary”	13
Elicitability and Identifiability of Tail Risk Measures	11
	11
Mean–variance hedging of contingent claims with random maturity	11
Issue Information	11
Issue Information	10
Issue Information	10
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	10

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

Reinforcement Learning for Jump‐Diffusions, With Financial Applications	2
An Extended Merton Problem With Relaxed Benchmark Tracking	2
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending	2
Time‐inconsistent contract theory	2
Equilibrium investment with random risk aversion	2
Sig‐Wasserstein GANs for conditional time series generation	2
Risk Budgeting portfolios: Existence and computation	2
Issue Information	2
Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today	2
Pathwise CVA regressions with oversimulated defaults	1
Corporate debt value under transition scenario uncertainty	1
Rough PDEs for Local Stochastic Volatility Models	1
Reinforcement learning with dynamic convex risk measures	1
	1
The rough Hawkes Heston stochastic volatility model	1
Issue Information	1
Designing universal causal deep learning models: The geometric (Hyper)transformer	1
Naïve Markowitz policies	1
A model‐free approach to continuous‐time finance	1
Quantitative Fundamental Theorem of Asset Pricing	1
	1
	1
The American put with finite‐time maturity and stochastic interest rate	1
Optimal Portfolio Choice With Cross‐Impact Propagators	1
Term structure modeling with overnight rates beyond stochastic continuity	1
	1
Order Routing and Market Quality: Who Benefits From Internalization?	1
While stability lasts: A stochastic model of noncustodial stablecoins	1
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1