OOIR: Observatory of International Research

Papers

(The median citation count of Mathematical Finance is 2. 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 2021-08-01 to 2025-08-01.)

Article	Citations
Hedging of Fixing Exposure	93
Issue Information	39
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	25
Optimal investment for retail investors	23
Long‐term risk with stochastic interest rates	19
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	18
	16
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	15
Joint calibration to SPX and VIX options with signature‐based models	14
Do investors gain by selling the tails of return distributions?	14
A Leland model for delta hedging in central risk books	13
Robust distortion risk measures	12
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	12
Risk concentration and the mean‐expected shortfall criterion	11
Learning equilibrium mean‐variance strategy	11
Recent advances in reinforcement learning in finance	11
Spanning Multi‐Asset Payoffs With ReLUs	10
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	10
Issue Information	10
Issue Information	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
When does portfolio compression reduce systemic risk?	9
	9
Mean–variance hedging of contingent claims with random maturity	9
Issue Information	8

Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Issue Information	8
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	7
Algorithmic market making in dealer markets with hedging and market impact	7
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Deep empirical risk minimization in finance: Looking into the future	6
Noncausal affine processes with applications to derivative pricing	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Optimal dividend payout under stochastic discounting	5
Optimal Liquidation With Signals: The General Propagator Case	5
Clustering heterogeneous financial networks	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	5
Issue Information	5
Special issue on machine learning in finance	5
Optimal investment with correlated stochastic volatility factors	5
Preference robust distortion risk measure and its application	5
Fairness principles for insurance contracts in the presence of default risk	4
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	4
A general approximation method for optimal stopping and random delay	4
Model‐free portfolio theory: A rough path approach	4
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	4
	4
Pro‐cyclicality beyond business cycle	4
Issue Information	3
In memoriam: Marco Avellaneda (1955–2022)	3
Issue Information	3
Marco Avellaneda: Mathematician and trader	3
Optimal Contracts for Delegated Order Execution	3
Designing stablecoins	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
The fundamental theorem of asset pricing with and without transaction costs	3
Portfolio liquidation games with self‐exciting order flow	3
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	3
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints	3
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	3
Optimal measure preserving derivatives revisited	3
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	3
Rough PDEs for Local Stochastic Volatility Models	2
Reinforcement learning with dynamic convex risk measures	2
Issue Information	2
Systemic risk in markets with multiple central counterparties	2
Issue Information	2
Time‐inconsistent contract theory	2
	2
Corporate debt value under transition scenario uncertainty	2
Sig‐Wasserstein GANs for conditional time series generation	2
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2
Risk Budgeting portfolios: Existence and computation	2

Designing universal causal deep learning models: The geometric (Hyper)transformer	2
The American put with finite‐time maturity and stochastic interest rate	2
Issue Information	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Equilibrium investment with random risk aversion	2
Naïve Markowitz policies	2