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 2020-07-01 to 2024-07-01.)

Article	Citations
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	25
Recent advances in reinforcement learning in finance	25
Equilibrium concepts for time‐inconsistent stopping problems in continuous time	22
Mean–field moral hazard for optimal energy demand response management	20
Optimal make–take fees for market making regulation	18
The Alpha‐Heston stochastic volatility model	17
Sharing the value‐at‐risk under distributional ambiguity	17
Small‐time, large‐time, and asymptotics for the Rough Heston model	15
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach	15
Algorithmic market making in dealer markets with hedging and market impact	14
Asset pricing with general transaction costs: Theory and numerics	13
Risk‐sensitive benchmarked asset management with expert forecasts	13
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion	13
Bayes risk, elicitability, and the Expected Shortfall	12
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	12
Size matters for OTC market makers: General results and dimensionality reduction techniques	11
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach	10
Weak transport for non‐convex costs and model‐independence in a fixed‐income market	9
Crypto quanto and inverse options	8
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	8
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	8
Trading with the crowd	7
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion	7
Liquidity in competitive dealer markets	7
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	7

Model risk in credit risk	7
Penalty method for portfolio selection with capital gains tax	7
When does portfolio compression reduce systemic risk?	6
Portfolio liquidation games with self‐exciting order flow	6
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	6
Double continuation regions for American options under Poisson exercise opportunities	6
Markov chains under nonlinear expectation	6
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	6
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	6
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs	6
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	5
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	5
Reinforcement learning with dynamic convex risk measures	5
Learning equilibrium mean‐variance strategy	5
Robust distortion risk measures	5
Deep empirical risk minimization in finance: Looking into the future	5
Calibration of local‐stochastic volatility models by optimal transport	5
Generalized statistical arbitrage concepts and related gain strategies	5
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	5
Open markets	5
On utility maximization under model uncertainty in discrete‐time markets	5
Intra‐Horizon expected shortfall and risk structure in models with jumps	5
An elementary approach to the Merton problem	5