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 2022-08-01 to 2026-08-01.)
ArticleCitations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility35
Optimal Investment with Time-Varying Stochastic Endowments28
A Mathematical Framework for Modeling Order Book Dynamics23
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information22
A Mean-Field Game of Market-Making against Strategic Traders18
Optimal Trading with Signals and Stochastic Price Impact18
Model-Free Analysis of Dynamic Trading Strategies18
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional17
Cross-Currency Basis Swaps Referencing Backward-Looking Rates17
Shortfall Aversion on a Finite Horizon16
Signature-Based Models: Theory and Calibration16
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios15
Signature Methods in Stochastic Portfolio Theory15
Short Communication: Is a Sophisticated Agent Always a Wise One?15
Interest Rates Term Structure Models Driven by Hawkes Processes14
On Robust Fundamental Theorems of Asset Pricing in Discrete Time14
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