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 2021-11-01 to 2025-11-01.)

Article	Citations
Hedging of Fixing Exposure	109
Partial Information in a Mean‐Variance Portfolio Selection Game	40
Issue Information	28
	25
Long‐term risk with stochastic interest rates	22
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	20
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	20
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	18
Joint calibration to SPX and VIX options with signature‐based models	17
Do investors gain by selling the tails of return distributions?	16
A Leland model for delta hedging in central risk books	15
Robust distortion risk measures	14
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	14
Risk concentration and the mean‐expected shortfall criterion	13
Spanning Multi‐Asset Payoffs With ReLUs	13
Recent advances in reinforcement learning in finance	13
Issue Information	12
Learning equilibrium mean‐variance strategy	12
Mean–variance hedging of contingent claims with random maturity	11
Correction to “Neural Optimal Stopping Boundary”	10
When does portfolio compression reduce systemic risk?	10
	9
Issue Information	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Issue Information	9

Issue Information	9
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Algorithmic market making in dealer markets with hedging and market impact	8
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	7
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Optimal Liquidation With Signals: The General Propagator Case	6
Noncausal affine processes with applications to derivative pricing	6
Deep empirical risk minimization in finance: Looking into the future	6
Issue Information	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Preference robust distortion risk measure and its application	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Clustering heterogeneous financial networks	5
Optimal dividend payout under stochastic discounting	5
Optimal investment with correlated stochastic volatility factors	5
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	5