Mathematics and Financial Economics

Papers
(The TQCC of Mathematics and Financial Economics is 3. 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.)
ArticleCitations
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process18
Risk management with expected shortfall12
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model10
Governmental incentives for green bonds investment9
Multiple yield curve modelling with CBI processes9
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity9
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment7
Price formation and optimal trading in intraday electricity markets7
Price impact equilibrium with transaction costs and TWAP trading6
A two-player portfolio tracking game5
Robust utility maximization under model uncertainty via a penalization approach5
Learning about latent dynamic trading demand $$^*$$5
Safety-first portfolio selection5
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction5
Connectedness versus diversification: two sides of the same coin5
Mean field portfolio games with consumption4
Asymptotics for volatility derivatives in multi-factor rough volatility models4
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
Optimal collective investment: an analysis of individual welfare4
Optimal portfolios in the presence of stress scenarios A worst-case approach4
An optimal portfolio and consumption problem with a benchmark and partial information3
Term structure modeling under volatility uncertainty3
Systemic optimal risk transfer equilibrium3
Optimal finite horizon contract with limited commitment3
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