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 2021-12-01 to 2025-12-01.)

Article	Citations
Hedging of Fixing Exposure	118
Partial Information in a Mean‐Variance Portfolio Selection Game	40
Issue Information	28
	26
Long‐term risk with stochastic interest rates	24
Do investors gain by selling the tails of return distributions?	22
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	22
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	21
Joint calibration to SPX and VIX options with signature‐based models	20
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	17
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	15
A Leland model for delta hedging in central risk books	15
Robust distortion risk measures	14
Recent advances in reinforcement learning in finance	14
Spanning Multi‐Asset Payoffs With ReLUs	13
Learning equilibrium mean‐variance strategy	13
Issue Information	12
Risk concentration and the mean‐expected shortfall criterion	12
Correction to “Neural Optimal Stopping Boundary”	11
Mean–variance hedging of contingent claims with random maturity	11
Elicitability and Identifiability of Tail Risk Measures	11
When does portfolio compression reduce systemic risk?	11
Issue Information	10
	10
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9

Issue Information	9
Issue Information	9
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	8
Deep empirical risk minimization in finance: Looking into the future	7
Algorithmic market making in dealer markets with hedging and market impact	7
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Expected median of a shifted Brownian motion: Theory and calculations	7
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	7
Optimal Liquidation With Signals: The General Propagator Case	6
Issue Information	6
Noncausal affine processes with applications to derivative pricing	6
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Optimal dividend payout under stochastic discounting	5
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Optimal investment with correlated stochastic volatility factors	5
Preference robust distortion risk measure and its application	5
Clustering heterogeneous financial networks	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5