Mathematics and Financial Economics

Papers
(The TQCC of Mathematics and Financial Economics is 4. 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
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process13
Equilibrium effects of intraday order-splitting benchmarks13
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility12
Continuity of utility maximization under weak convergence9
Multiple yield curve modelling with CBI processes9
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
Risk management with expected shortfall7
Systemic credit freezes in financial lending networks7
How safe are central counterparties in credit default swap markets?7
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization6
An optimization model for minimizing systemic risk6
Governmental incentives for green bonds investment6
No arbitrage in continuous financial markets6
Mean-variance efficiency of optimal power and logarithmic utility portfolios5
Price formation and optimal trading in intraday electricity markets5
Capital allocation rules and acceptance sets5
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model4
A generalized stochastic differential utility driven by G-Brownian motion4
Safety-first portfolio selection4
A financial market with singular drift and no arbitrage4
An integrated model for fire sales and default contagion4
Learning about latent dynamic trading demand $$^*$$4
Compound Poisson models for weighted networks with applications in finance4
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction4
Robust utility maximization under model uncertainty via a penalization approach4
Price impact equilibrium with transaction costs and TWAP trading4
Asymptotics for volatility derivatives in multi-factor rough volatility models4
A two-player portfolio tracking game4
0.016183853149414