Mathematics and Financial Economics

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 2020-09-01 to 2024-09-01.)
ArticleCitations
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean36
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process18
Equilibrium effects of intraday order-splitting benchmarks15
Risk management with expected shortfall12
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model10
Multiple yield curve modelling with CBI processes9
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity9
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization9
Governmental incentives for green bonds investment9
An optimization model for minimizing systemic risk8
Price formation and optimal trading in intraday electricity markets7
Price impact equilibrium with transaction costs and TWAP trading6
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment6
Connectedness versus diversification: two sides of the same coin5
A two-player portfolio tracking game5
Robust utility maximization under model uncertainty via a penalization approach5
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction5
Safety-first portfolio selection5
A financial market with singular drift and no arbitrage4
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model4
Contagion risks and security investment in directed networks4
Mean field portfolio games with consumption4
Optimal portfolios in the presence of stress scenarios A worst-case approach4
Learning about latent dynamic trading demand $$^*$$4
Asymptotics for volatility derivatives in multi-factor rough volatility models4
Optimal collective investment: an analysis of individual welfare3
An optimal portfolio and consumption problem with a benchmark and partial information3
Optimal finite horizon contract with limited commitment3
Systemic optimal risk transfer equilibrium3
Term structure modeling under volatility uncertainty3
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics2
Non-concave portfolio optimization with average value-at-risk2
Dynamic Cournot-Nash equilibrium: the non-potential case2
A mean field model for the development of renewable capacities2
Optimal design of bank regulation under aggregate risk2
A dynamical model for real economy and finance2
Robust utility maximizing strategies under model uncertainty and their convergence2
Insurance guaranty premiums and exchange options2
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk2
A stochastic control approach to public debt management2
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure2
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition2
Supermartingale deflators in the absence of a numéraire1
On the market price of risk1
Nash equilibria for relative investors with (non)linear price impact1
Arbitrage-free Nelson–Siegel model for multiple yield curves1
An elementary proof of the dual representation of Expected Shortfall1
Pathwise superhedging under proportional transaction costs1
On intermediate marginals in martingale optimal transportation1
Preface to the special issue on systemic risk and financial networks1
0.060144186019897