Mathematics and Financial Economics

Papers
(The H4-Index of Mathematics and Financial Economics is 7. 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 2020-11-01 to 2024-11-01.)
ArticleCitations
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process18
Risk management with expected shortfall12
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model10
Governmental incentives for green bonds investment9
Multiple yield curve modelling with CBI processes9
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity9
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment7
Price formation and optimal trading in intraday electricity markets7
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