SIAM Journal on Financial Mathematics

Papers
(The H4-Index of SIAM Journal on Financial Mathematics is 13. 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 2021-09-01 to 2025-09-01.)
ArticleCitations
A Mathematical Framework for Modeling Order Book Dynamics27
Optimal Investment with Time-Varying Stochastic Endowments22
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information20
A Mean-Field Game of Market-Making against Strategic Traders16
Optimal Trading with Signals and Stochastic Price Impact16
Signature-Based Models: Theory and Calibration15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional15
Model-Free Analysis of Dynamic Trading Strategies15
Shortfall Aversion on a Finite Horizon14
Short Communication: Is a Sophisticated Agent Always a Wise One?13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients13
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios13
Short Communication: Chances for the Honest in Honest versus Insider Trading13
Interest Rates Term Structure Models Driven by Hawkes Processes13
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