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 2021-09-01 to 2025-09-01.)

Article	Citations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	47
α -threshold networks in credit risk models	34
Price dynamics with circuit breakers	33
Special Issue on XXIV Workshop on Quantitative Finance	30
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	28
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	28
Optimal trading and competition with information in the price impact model	17
Weak approximations and VIX option price expansions in forward variance curve models	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Trading TP ₂ option violations	16
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	16
A generalized Esscher transform for option valuation with regime switching risk	15
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 densities	15
How does liquidity shape the yield curve?	14
Pairs trading under delayed cointegration	14
Multivariate systemic risk measures and computation by deep learning algorithms	14
What is the value of the cross-sectional approach to deep reinforcement learning?	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Portfolio insurers and constant weight traders: who will survive?	13
Estimation risk and the implicit value of index-tracking	13
Cryptocurrency factor momentum	13
Can volatility solve the naive portfolio puzzle?	12
Decomposing LIBOR in transition: evidence from the futures markets	12

Bid-ask bounds for option prices: the two-tail distortion model	12
Persistence of jump-induced tail risk and limits to arbitrage	12
Short-dated smile under rough volatility: asymptotics and numerics	12
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
The Black–Scholes equation in the presence of arbitrage	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
On the predictive power of food commodity futures prices in forecasting inflation	10
Model-free analysis of real option exercise probability and timing	10
Explaining risks: axiomatic risk attributions for financial models	10
Valuation and hedging of cryptocurrency inverse options	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
Sparse index clones via the sorted ℓ₁-Norm	10
Generation of synthetic financial time series by diffusion models	10
The impact of CoCo bonds on systemic risk considering liquidity risk	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Optimal operation of a hydropower plant in a stochastic environment	9
The geometry of multi-curve interest rate models	9
Conditions for bubbles to arise under heterogeneous beliefs	9
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
SABR equipped with AI wings	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Earnings mean reversion and dynamic optimal capital structure	8
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Distributionally robust end-to-end portfolio construction	7
On joint marginal expected shortfall and associated contribution risk measures	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	7
Asset prices when large investors interact strategically	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
The optimal payoff for a Yaari investor	7
Estimating time-varying risk aversion from option prices and realized returns	7
When to efficiently rebalance a portfolio	7
Detecting bubbles via FDR and FNR based on calibrated p -values	6
The non-linear ESG premium	6
Cooperation between independent market makers	6
Pricing commodity index options	6
Rule-based trading on an order-driven exchange: a reassessment	6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	6
Optimal attention allocation: picking alpha or betting on beta?	6
Computing the SSR	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Some analytical results on bivariate stable distributions with an application in operational risk	6
Book review	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
When do systematic strategies decay?	6
On general semi-closed-form solutions for VIX derivative pricing	6

Equity auction dynamics: latent liquidity models with activity acceleration	6
Crypto inverse-power options and fractional stochastic volatility	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
An Introduction to Machine Learning in Quantitative Finance	6
The role of fleeting orders on option expiration days	5
Supervised portfolios	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
The inelastic market hypothesis: a microstructural interpretation	5
A Tour of C++, Third Edition	5
Errata: Instantaneous Portfolio theory	5
A neuro-structural framework for bankruptcy prediction	5
Drawdown beta and portfolio optimization	5
Liquidity Coverage at Risk	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Regime-switching affine term structures	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
Deep calibration with random grids	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
GDP-linked bonds as a new asset class	5
Merged LSTM-MLP for option valuation	4
The EWMA Heston model	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Option pricing under stochastic volatility models with latent volatility	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Sparse portfolio selection via topological data analysis based clustering	4
Cheapest-to-deliver collateral: a common factor approach	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Risk-free rate caplets pricing by CTMC approximation	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Risk factor aggregation and stress testing	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Group sparse enhanced indexation model with adaptive beta value	4
A generalized heterogeneous autoregressive model using market information	4