Mathematical Finance

Papers
(The TQCC of Mathematical Finance is 5. 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 2020-06-01 to 2024-06-01.)
ArticleCitations
Network valuation in financial systems59
Continuous‐time mean–variance portfolio selection: A reinforcement learning framework59
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics24
Equilibrium concepts for time‐inconsistent stopping problems in continuous time22
Recent advances in reinforcement learning in finance22
Mean–field moral hazard for optimal energy demand response management19
Optimal make–take fees for market making regulation18
The Alpha‐Heston stochastic volatility model17
Sharing the value‐at‐risk under distributional ambiguity17
Small‐time, large‐time, and asymptotics for the Rough Heston model15
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach15
Algorithmic market making in dealer markets with hedging and market impact14
Asset pricing with general transaction costs: Theory and numerics13
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion12
Risk‐sensitive benchmarked asset management with expert forecasts12
Size matters for OTC market makers: General results and dimensionality reduction techniques11
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets11
Bayes risk, elicitability, and the Expected Shortfall11
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach10
Robust risk aggregation with neural networks9
Weak transport for non‐convex costs and model‐independence in a fixed‐income market9
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets8
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures8
Crypto quanto and inverse options8
Consistent investment of sophisticated rank‐dependent utility agents in continuous time7
A term structure model for dividends and interest rates7
Penalty method for portfolio selection with capital gains tax7
Liquidity in competitive dealer markets7
Double continuation regions for American options under Poisson exercise opportunities6
Markov chains under nonlinear expectation6
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion6
Interbank lending with benchmark rates: Pareto optima for a class of singular control games6
Trading with the crowd6
Portfolio liquidation games with self‐exciting order flow6
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact6
Model risk in credit risk6
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs6
Intra‐Horizon expected shortfall and risk structure in models with jumps5
Learning equilibrium mean‐variance strategy5
Robust distortion risk measures5
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes5
When does portfolio compression reduce systemic risk?5
Generalized statistical arbitrage concepts and related gain strategies5
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps5
Reinforcement learning with dynamic convex risk measures5
Calibration of local‐stochastic volatility models by optimal transport5
An elementary approach to the Merton problem5
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems5
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