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 2022-08-01 to 2026-08-01.)

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	78
Price dynamics with circuit breakers	58
A market resilient data-driven approach to option pricing	42
α -threshold networks in credit risk models	33
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	29
Special Issue on XXIV Workshop on Quantitative Finance	29
Weak approximations and VIX option price expansions in forward variance curve models	24
Optimal trading and competition with information in the price impact model	23
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	23
Trading TP ₂ option violations	21
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	21
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Analytical approximations for American option pricing under regime-switching models	19
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	19
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	18
Can volatility solve the naive portfolio puzzle?	17
Greenwashing risk in asset pricing: the shift after the Paris agreement	17
Persistence of jump-induced tail risk and limits to arbitrage	17
Pairs trading with stock borrowing fee	17
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	16
Short-maturity options on realized variance in local-stochastic volatility models	16
Decomposing LIBOR in transition: evidence from the futures markets	15
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	15
Analytical solution for Kelly's criterion for multiple outcomes	14
Cryptocurrency factor momentum	14

Bid-ask bounds for option prices: the two-tail distortion model	14
Consumption skewness, time deformation and the term structure	14
A structured PDE framework for pricing resettable convertible bonds	14
Multivariate systemic risk measures and computation by deep learning algorithms	13
Generation of synthetic financial time series by diffusion models	13
How does liquidity shape the yield curve?	13
Model-free analysis of real option exercise probability and timing	12
Valuation and hedging of cryptocurrency inverse options	12
The Black–Scholes equation in the presence of arbitrage	12
Kurtosis-based risk parity: methodology and portfolio effects	12
Spot beta estimation with asynchronous noisy prices	11
Explaining risks: axiomatic risk attributions for financial models	11
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
On the predictive power of food commodity futures prices in forecasting inflation	10
Estimating time-varying risk aversion from option prices and realized returns	10
SABR equipped with AI wings	9
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	9
Dimensionality reduction techniques to support insider trading detection	9
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	8
Earnings mean reversion and dynamic optimal capital structure	8
Crypto inverse-power options and fractional stochastic volatility	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Revisiting the bond premium puzzle: a robustness approach	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Distributionally robust end-to-end portfolio construction	8
Optimal operation of a hydropower plant in a stochastic environment	8
The geometry of multi-curve interest rate models	8
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework	8
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Rule-based trading on an order-driven exchange: a reassessment	7
Pricing commodity index options	7
Asset prices when large investors interact strategically	7
When to efficiently rebalance a portfolio	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
On joint marginal expected shortfall and associated contribution risk measures	7
Optimal attention allocation: picking alpha or betting on beta?	6
On the correlations in linearized multivariate stochastic volatility models	6
Book review	6
GDP-linked bonds as a new asset class	6
Computing the SSR	6
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Detecting toxic flow	6

Mind the gap in the mining game	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
Deep calibration with random grids	5
The role of fleeting orders on option expiration days	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Equity auction dynamics: latent liquidity models with activity acceleration	5
The non-linear ESG premium	5
On general semi-closed-form solutions for VIX derivative pricing	5
A neuro-structural framework for bankruptcy prediction	5
Supervised portfolios	5
ClusterLOB: enhancing trading strategies by clustering orders in limit order books	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Liquidity Coverage at Risk	5
A Tour of C++, Third Edition	5
When do systematic strategies decay?	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Regime-switching affine term structures	5
Numerical perspectives on the rebalancing premium	4
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
Sparse portfolio selection via topological data analysis based clustering	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
The EWMA Heston model	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Forward-looking physical tail risk: a deep learning approach	4
Bayesian nonparametric modelling of stochastic volatility	4
FX Open Forward	4
Valuation of American options in ambiguous multifactor models	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	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
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Revisiting elastic string models of forward interest rates	4
f-Betas and portfolio optimization with f-divergence induced risk measures	4
Option pricing under stochastic volatility models with latent volatility	4
Risk factor aggregation and stress testing	4
Merged LSTM-MLP for option valuation	4
Risk-free rate caplets pricing by CTMC approximation	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4