Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 15. 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 2021-09-01 to 2025-09-01.)
ArticleCitations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas47
α -threshold networks in credit risk models34
Price dynamics with circuit breakers33
Special Issue on XXIV Workshop on Quantitative Finance30
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants28
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)28
Weak approximations and VIX option price expansions in forward variance curve models17
Optimal trading and competition with information in the price impact model17
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality16
Trading TP 2 option violations16
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics16
A study on asset price bubble dynamics: explosive trend or quadratic variation?16
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)15
Pricing electricity day-ahead cap futures with multifactor skew-t densities15
A generalized Esscher transform for option valuation with regime switching risk15
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