SIAM Journal on Financial Mathematics

Papers
(The H4-Index of SIAM Journal on Financial Mathematics is 14. 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 2022-05-01 to 2026-05-01.)
ArticleCitations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information34
A Mean-Field Game of Market-Making against Strategic Traders26
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility26
Optimal Trading with Signals and Stochastic Price Impact25
Optimal Investment with Time-Varying Stochastic Endowments23
A Mathematical Framework for Modeling Order Book Dynamics20
Model-Free Analysis of Dynamic Trading Strategies18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates17
Signature-Based Models: Theory and Calibration17
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional15
Short Communication: Is a Sophisticated Agent Always a Wise One?15
Shortfall Aversion on a Finite Horizon14
Signature Methods in Stochastic Portfolio Theory14
Interest Rates Term Structure Models Driven by Hawkes Processes14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios14
On Robust Fundamental Theorems of Asset Pricing in Discrete Time14
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