OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative Finance is 3. 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
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	40
Weak approximations and VIX option price expansions in forward variance curve models	39
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	28
Pricing electricity day-ahead cap futures with multifactor skew-t densities	25
A generalized Esscher transform for option valuation with regime switching risk	24
α -threshold networks in credit risk models	21
Price dynamics with circuit breakers	20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Special Issue on XXIV Workshop on Quantitative Finance	19
Persistence of jump-induced tail risk and limits to arbitrage	13
What is the value of the cross-sectional approach to deep reinforcement learning?	13
Portfolio insurers and constant weight traders: who will survive?	13
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	13
Optimal trading and competition with information in the price impact model	13
Estimation risk and the implicit value of index-tracking	12
Decomposing LIBOR in transition: evidence from the futures markets	12
Short-dated smile under rough volatility: asymptotics and numerics	12
Pairs trading under delayed cointegration	12
Can volatility solve the naive portfolio puzzle?	11
Cryptocurrency factor momentum	11
Optimal portfolio allocation and asset centrality revisited	11
An investigation of cryptocurrency data: the market that never sleeps	11
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	11

Bid-ask bounds for option prices: the two-tail distortion model	10
Multivariate systemic risk measures and computation by deep learning algorithms	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	9
Sparse index clones via the sorted ℓ₁-Norm	9
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	9
Valuation and hedging of cryptocurrency inverse options	9
Model-free analysis of real option exercise probability and timing	9
High-dimensional sparse index tracking based on a multi-step convex optimization approach	9
The Black–Scholes equation in the presence of arbitrage	9
The impact of CoCo bonds on systemic risk considering liquidity risk	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Lifetime consumption and investment with housing, deferred annuities and home equity release	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
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	8
Some analytical results on bivariate stable distributions with an application in operational risk	7
Conditions for bubbles to arise under heterogeneous beliefs	7
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	7
The geometry of multi-curve interest rate models	7
Tile test for back-testing risk evaluation	7
Earnings mean reversion and dynamic optimal capital structure	7
SABR equipped with AI wings	7
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	7
Distributionally robust end-to-end portfolio construction	7
Estimating time-varying risk aversion from option prices and realized returns	7
Optimal operation of a hydropower plant in a stochastic environment	7
Rule-based trading on an order-driven exchange: a reassessment	6
Cooperation between independent market makers	6
On joint marginal expected shortfall and associated contribution risk measures	6
Pricing commodity index options	6
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Asset prices when large investors interact strategically	6
When to efficiently rebalance a portfolio	5
Book review	5
Callable barrier reverse convertible securities	5
Deep calibration with random grids	5
GDP-linked bonds as a new asset class	5
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	5
Bond market completeness under stochastic strings with distribution-valued strategies	5
When do systematic strategies decay?	5
Liquidity Coverage at Risk	5
An Introduction to Machine Learning in Quantitative Finance	5
Optimal attention allocation: picking alpha or betting on beta?	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5

Equity auction dynamics: latent liquidity models with activity acceleration	5
The inelastic market hypothesis: a microstructural interpretation	5
Detecting bubbles via FDR and FNR based on calibrated p -values	5
Regime-switching affine term structures	4
A Tour of C++, Third Edition	4
Errata: Instantaneous Portfolio theory	4
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	4
NN de-Americanization: an efficient method to facilitate calibration of American-style options	4
A neuro-structural framework for bankruptcy prediction	4
Risk factor aggregation and stress testing	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	4
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	4
Myopic robust index tracking with Bregman divergence	4
On general semi-closed-form solutions for VIX derivative pricing	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
A generalized heterogeneous autoregressive model using market information	4
The EWMA Heston model	4
The role of fleeting orders on option expiration days	4
Supervised portfolios	4
Computing the SSR	4
Drawdown beta and portfolio optimization	4
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	4
Risk-free rate caplets pricing by CTMC approximation	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
Size and power in tests of return predictability	3
Optimal trade execution for Gaussian signals with power-law resilience	3
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	3
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	3
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
In Memoriam Mardi Dungey	3
FX Open Forward	3
ESG risk exposure: a tale of two tails	3
Antinoise in U.S. equity markets	3
When do two- or three-fund separation theorems hold?	3
Cheapest-to-deliver collateral: a common factor approach	3
Option pricing under stochastic volatility models with latent volatility	3
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	3
On the investment strategies in occupational pension plans	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Dynamic patterns of daily lead-lag networks in stock markets	3
AI-driven liquidity provision in OTC financial markets	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Optimal characteristic portfolios	3
Mathematics of the Bond Market: A Lévy Processes Approach	3
An early-warning risk signals framework to capture systematic risk in financial markets	3
Group sparse enhanced indexation model with adaptive beta value	3
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	3
Revisiting elastic string models of forward interest rates	3
On model robustness of the regime switching approach for pegged foreign exchange markets	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3