OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative 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 2021-10-01 to 2025-10-01.)

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	47
α -threshold networks in credit risk models	38
Price dynamics with circuit breakers	34
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	31
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	29
Pricing electricity day-ahead cap futures with multifactor skew-t densities	28
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	18
Trading TP ₂ option violations	18
A generalized Esscher transform for option valuation with regime switching risk	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	17
Weak approximations and VIX option price expansions in forward variance curve models	16
Optimal trading and competition with information in the price impact model	16
Special Issue on XXIV Workshop on Quantitative Finance	16
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	15
Bid-ask bounds for option prices: the two-tail distortion model	15
Persistence of jump-induced tail risk and limits to arbitrage	15
Estimation risk and the implicit value of index-tracking	15
Can volatility solve the naive portfolio puzzle?	14
Decomposing LIBOR in transition: evidence from the futures markets	14
Pairs trading under delayed cointegration	13
Short-dated smile under rough volatility: asymptotics and numerics	13
How does liquidity shape the yield curve?	13
Cryptocurrency factor momentum	13

Multivariate systemic risk measures and computation by deep learning algorithms	12
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	12
What is the value of the cross-sectional approach to deep reinforcement learning?	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	11
Spot beta estimation with asynchronous noisy prices	11
Portfolio insurers and constant weight traders: who will survive?	11
The Black–Scholes equation in the presence of arbitrage	11
Generation of synthetic financial time series by diffusion models	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Explaining risks: axiomatic risk attributions for financial models	10
Valuation and hedging of cryptocurrency inverse options	10
Model-free analysis of real option exercise probability and timing	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
On the predictive power of food commodity futures prices in forecasting inflation	10
Conditions for bubbles to arise under heterogeneous beliefs	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Estimating time-varying risk aversion from option prices and realized returns	9
Optimal operation of a hydropower plant in a stochastic environment	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	9
The geometry of multi-curve interest rate models	9
Earnings mean reversion and dynamic optimal capital structure	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Distributionally robust end-to-end portfolio construction	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
The optimal payoff for a Yaari investor	8
Some analytical results on bivariate stable distributions with an application in operational risk	7
Cooperation between independent market makers	7
When to efficiently rebalance a portfolio	7
Asset prices when large investors interact strategically	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Crypto inverse-power options and fractional stochastic volatility	7
SABR equipped with AI wings	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Book review	6
Pricing commodity index options	6
On joint marginal expected shortfall and associated contribution risk measures	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Computing the SSR	6
GDP-linked bonds as a new asset class	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
An Introduction to Machine Learning in Quantitative Finance	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
The inelastic market hypothesis: a microstructural interpretation	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
On general semi-closed-form solutions for VIX derivative pricing	6

Deep calibration with random grids	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Rule-based trading on an order-driven exchange: a reassessment	6
Drawdown beta and portfolio optimization	6
The non-linear ESG premium	6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	6
When do systematic strategies decay?	6
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Regime-switching affine term structures	5
Liquidity Coverage at Risk	5
A neuro-structural framework for bankruptcy prediction	5
A Tour of C++, Third Edition	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
The role of fleeting orders on option expiration days	5
Supervised portfolios	5
Optimal attention allocation: picking alpha or betting on beta?	5
Risk-free rate caplets pricing by CTMC approximation	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Errata: Instantaneous Portfolio theory	5
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Sparse portfolio selection via topological data analysis based clustering	4
A generalized heterogeneous autoregressive model using market information	4
Option pricing under stochastic volatility models with latent volatility	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Cheapest-to-deliver collateral: a common factor approach	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Risk factor aggregation and stress testing	4
The EWMA Heston model	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Merged LSTM-MLP for option valuation	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
An early-warning risk signals framework to capture systematic risk in financial markets	4