Mathematical Finance

Papers
(The TQCC of Mathematical Finance is 4. 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 2020-02-01 to 2024-02-01.)
ArticleCitations
Continuous‐time mean–variance portfolio selection: A reinforcement learning framework54
Network valuation in financial systems53
Mean‐field games with differing beliefs for algorithmic trading35
Distress and default contagion in financial networks31
Equilibrium concepts for time‐inconsistent stopping problems in continuous time20
No‐arbitrage implies power‐law market impact and rough volatility20
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics18
Mean–field moral hazard for optimal energy demand response management17
Optimal make–take fees for market making regulation17
Static and semistatic hedging as contrarian or conformist bets17
Self‐similarity in long‐horizon returns17
The Alpha‐Heston stochastic volatility model16
Risk functionals with convex level sets15
Sharing the value‐at‐risk under distributional ambiguity15
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach15
Recent advances in reinforcement learning in finance14
Lifetime investment and consumption with recursive preferences and small transaction costs12
Risk‐sensitive benchmarked asset management with expert forecasts12
Asset pricing with general transaction costs: Theory and numerics12
Shortfall aversion12
Small‐time, large‐time, and asymptotics for the Rough Heston model11
Algorithmic market making in dealer markets with hedging and market impact11
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion10
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach10
Size matters for OTC market makers: General results and dimensionality reduction techniques10
Bayes risk, elicitability, and the Expected Shortfall10
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets10
Asset pricing with heterogeneous beliefs and illiquidity8
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures7
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion7
Weak transport for non‐convex costs and model‐independence in a fixed‐income market7
Liquidity in competitive dealer markets7
A term structure model for dividends and interest rates7
Penalty method for portfolio selection with capital gains tax7
Robust risk aggregation with neural networks6
Semimartingale theory of monotone mean–variance portfolio allocation6
Interbank lending with benchmark rates: Pareto optima for a class of singular control games6
Model risk in credit risk6
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets6
Portfolio liquidation games with self‐exciting order flow6
Trading with the crowd5
Consistent investment of sophisticated rank‐dependent utility agents in continuous time5
An elementary approach to the Merton problem5
Intra‐Horizon expected shortfall and risk structure in models with jumps5
Markov chains under nonlinear expectation5
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes4
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact4
Calibration of local‐stochastic volatility models by optimal transport4
Open markets4
On utility maximization under model uncertainty in discrete‐time markets4
Double continuation regions for American options under Poisson exercise opportunities4
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps4
When does portfolio compression reduce systemic risk?4
A martingale representation theorem and valuation of defaultable securities4
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