OOIR: Observatory of International Research

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 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