OOIR: Observatory of International Research

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 2021-05-01 to 2025-05-01.)

Article	Citations
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	75
Issue Information	36
	24
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	19
Joint calibration to SPX and VIX options with signature‐based models	18
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	13
Optimal investment for retail investors	13
Do investors gain by selling the tails of return distributions?	12
Recent advances in reinforcement learning in finance	12
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	12
Long‐term risk with stochastic interest rates	12
A Leland model for delta hedging in central risk books	12
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	11
Robust distortion risk measures	11
Spanning Multi‐Asset Payoffs With ReLUs	10
An elementary approach to the Merton problem	10
Learning equilibrium mean‐variance strategy	9
Risk concentration and the mean‐expected shortfall criterion	9
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	9
Mean–variance hedging of contingent claims with random maturity	8
When does portfolio compression reduce systemic risk?	8
Issue Information	8
Issue Information	7
Issue Information	7
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	7

Duality for optimal consumption with randomly terminating income	7
Algorithmic market making in dealer markets with hedging and market impact	6
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	6
Deep empirical risk minimization in finance: Looking into the future	6
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	6
Issue Information	6
Noncausal affine processes with applications to derivative pricing	6
Convergence of optimal expected utility for a sequence of binomial models	5
Preference robust distortion risk measure and its application	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Clustering heterogeneous financial networks	5
Special issue on machine learning in finance	5
Optimal investment with correlated stochastic volatility factors	5
Issue Information	5
Optimal dividend payout under stochastic discounting	5
A general approximation method for optimal stopping and random delay	4
Perturbation analysis of sub/super hedging problems	4
Pro‐cyclicality beyond business cycle	4
Polar Coordinates for the 3/2 Stochastic Volatility Model	4
Model‐free portfolio theory: A rough path approach	4
	4
Fairness principles for insurance contracts in the presence of default risk	4
On buybacks, dilutions, dividends, and the pricing of stock‐based claims	4