SIAM Journal on Financial Mathematics

Papers
(The H4-Index of SIAM Journal on Financial Mathematics is 12. 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 2021-05-01 to 2025-05-01.)
ArticleCitations
Optimal Trading with Signals and Stochastic Price Impact25
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information16
A Mathematical Framework for Modeling Order Book Dynamics16
Optimal Investment with Time-Varying Stochastic Endowments15
A Mean-Field Game of Market-Making against Strategic Traders14
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional13
Shortfall Aversion on a Finite Horizon13
Signature-Based Models: Theory and Calibration13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time13
Interest Rates Term Structure Models Driven by Hawkes Processes12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients12
Short Communication: Is a Sophisticated Agent Always a Wise One?12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew12
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios12
Short Communication: Chances for the Honest in Honest versus Insider Trading12
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