OOIR: Observatory of International Research

Papers

(The median citation count of Mathematics and Financial Economics is 2. 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.)

Article	Citations
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean	34
Equilibrium effects of intraday order-splitting benchmarks	13
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process	13
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility	12
Multiple yield curve modelling with CBI processes	9
Continuity of utility maximization under weak convergence	9
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model	8
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences	8
How safe are central counterparties in credit default swap markets?	7
Risk management with expected shortfall	7
Systemic credit freezes in financial lending networks	7
No arbitrage in continuous financial markets	6
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization	6
An optimization model for minimizing systemic risk	6
Governmental incentives for green bonds investment	6
Capital allocation rules and acceptance sets	5
Mean-variance efficiency of optimal power and logarithmic utility portfolios	5
Price formation and optimal trading in intraday electricity markets	5
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction	4
Robust utility maximization under model uncertainty via a penalization approach	4
Price impact equilibrium with transaction costs and TWAP trading	4
Asymptotics for volatility derivatives in multi-factor rough volatility models	4
A two-player portfolio tracking game	4
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model	4
A generalized stochastic differential utility driven by G-Brownian motion	4

Safety-first portfolio selection	4
A financial market with singular drift and no arbitrage	4
An integrated model for fire sales and default contagion	4
Learning about latent dynamic trading demand $$^*$$	4
Compound Poisson models for weighted networks with applications in finance	4
Optimal portfolios in the presence of stress scenarios A worst-case approach	3
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity	3
Consumption and portfolio decisions with uncertain lifetimes	3
Optimal finite horizon contract with limited commitment	3
Systemic optimal risk transfer equilibrium	3
Properly discounted asset prices are semimartingales	3
A stochastic control approach to public debt management	2
Connectedness versus diversification: two sides of the same coin	2
Contagion risks and security investment in directed networks	2
No–arbitrage commodity option pricing with market manipulation	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
An optimal portfolio and consumption problem with a benchmark and partial information	2
Mean field portfolio games with consumption	2
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure	2
Term structure modeling under volatility uncertainty	2