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
A Mathematical Framework for Modeling Order Book Dynamics16
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information16
Optimal Investment with Time-Varying Stochastic Endowments15
A Mean-Field Game of Market-Making against Strategic Traders14
On Robust Fundamental Theorems of Asset Pricing in Discrete Time13
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
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios12
Short Communication: Chances for the Honest in Honest versus Insider Trading12
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
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