OOIR: Observatory of International Research

Papers

(The median citation count of Mathematics and Financial Economics is 1. 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.)

Article	Citations
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process	18
Risk management with expected shortfall	12
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model	10
Governmental incentives for green bonds investment	9
Multiple yield curve modelling with CBI processes	9
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity	9
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment	7
Price formation and optimal trading in intraday electricity markets	7
Price impact equilibrium with transaction costs and TWAP trading	6
A two-player portfolio tracking game	5
Robust utility maximization under model uncertainty via a penalization approach	5
Learning about latent dynamic trading demand $$^*$$	5
Safety-first portfolio selection	5
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction	5
Connectedness versus diversification: two sides of the same coin	5
Mean field portfolio games with consumption	4
Asymptotics for volatility derivatives in multi-factor rough volatility models	4
A financial market with singular drift and no arbitrage	4
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model	4
Contagion risks and security investment in directed networks	4
Optimal collective investment: an analysis of individual welfare	4
Optimal portfolios in the presence of stress scenarios A worst-case approach	4
An optimal portfolio and consumption problem with a benchmark and partial information	3
Term structure modeling under volatility uncertainty	3
Systemic optimal risk transfer equilibrium	3

Optimal finite horizon contract with limited commitment	3
A stochastic control approach to public debt management	2
Robust utility maximizing strategies under model uncertainty and their convergence	2
Optimal design of bank regulation under aggregate risk	2
A dynamical model for real economy and finance	2
Dynamic Cournot-Nash equilibrium: the non-potential case	2
Insurance guaranty premiums and exchange options	2
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk	2
Non-concave portfolio optimization with average value-at-risk	2
A mean field model for the development of renewable capacities	2
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition	2
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics	2
Pathwise superhedging under proportional transaction costs	1
Supermartingale deflators in the absence of a numéraire	1
On the market price of risk	1
Scale effects in dynamic contracting	1
Nash equilibria for relative investors with (non)linear price impact	1
Arbitrage-free Nelson–Siegel model for multiple yield curves	1
An optimal advertising model with carryover effect and mean field terms	1
An elementary proof of the dual representation of Expected Shortfall	1
Multivariate tempered stable additive subordination for financial models	1
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise	1
On intermediate marginals in martingale optimal transportation	1
Preface to the special issue on systemic risk and financial networks	1