Mathematics and Financial Economics

Papers
(The H4-Index of Mathematics and Financial Economics is 8. 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 2020-03-01 to 2024-03-01.)
ArticleCitations
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean34
Equilibrium effects of intraday order-splitting benchmarks13
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process13
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility12
Multiple yield curve modelling with CBI processes9
Continuity of utility maximization under weak convergence9
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences8
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model8
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