OOIR: Observatory of International Research

Papers

(The median citation count of SIAM Journal on Financial Mathematics is 2. 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.)

Article	Citations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	34
A Mean-Field Game of Market-Making against Strategic Traders	26
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	26
Optimal Trading with Signals and Stochastic Price Impact	25
Optimal Investment with Time-Varying Stochastic Endowments	23
A Mathematical Framework for Modeling Order Book Dynamics	20
Model-Free Analysis of Dynamic Trading Strategies	18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Signature-Based Models: Theory and Calibration	17
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
Short Communication: Is a Sophisticated Agent Always a Wise One?	15
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	15
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	14
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	14
Shortfall Aversion on a Finite Horizon	14
Signature Methods in Stochastic Portfolio Theory	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Double-Execution Strategies Using Path Signatures	13
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Price Impact and Long-Term Profitability of Energy Storage	11
On Bid and Ask Side-Specific Tick Sizes	11
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
Explicit Computations for Delayed Semistatic Hedging	11
Mortgage Contracts and Underwater Default	10
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	10

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
Statistically Consistent Term Structures Have Affine Geometry	10
A Mean Field Game between Informed Traders and a Broker	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	9
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	9
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
Optimal Loss Reporting in Continuous Time with Full Insurance	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Wasserstein Ergodicity of a Chen-Type Model with Correlated Noise	7
Model Uncertainty: A Reverse Approach	7
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Principal Eigenportfolios for U.S. Equities	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Reconciling Rough Volatility with Jumps	5
Insiders and Their Free Lunches: The Role of Short Positions	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Robust Portfolio Choice with Sticky Wages	5
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Market Making with Exogenous Competition	5
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	5
Time-Causal VAE: Robust Financial Time Series Generator	5
Utility Maximization in Multivariate Volterra Models	4
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	4
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
On Conditioning and Consistency for Nonlinear Functionals	4
Short Communication: On the Separability of Vector-Valued Risk Measures	4
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	4
Optimal Consumption under Relaxed Benchmark Tracking and Consumption Drawdown Constraint	4
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	3
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	3
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria	3
The McCormick Martingale Optimal Transport	3
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Escrow and Clawback	3
Risk Measures beyond Frictionless Markets	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Perpetual American Options in a Jump-Diffusion Model with Random Inspection	3
Pricing Bermudan Options Using Regression Trees/Random Forests	3

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
The Dispersion Bias	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	2
Collective Free Lunch and the FTAP	2
Optimal Ratcheting of Dividends in a Brownian Risk Model	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
Optimal Reinsurance Design under the Moment-Based Premium Principle: A Representative Reinsurer’s Perspective	2
Functional Portfolio Optimization in Stochastic Portfolio Theory	2
Robust Market Convergence: From Discrete to Continuous Time	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	2
Dual Representations for Quasiconvex Compositions with Applications to Systemic Risk Measures	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Signature Volatility Models: Pricing and Hedging with Fourier	2
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2
High Order Approximations and Simulation Schemes for the Log-Heston Process	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Nonconcave Utility Maximization with Transaction Costs	2
Order Book Queue Hawkes Markovian Modeling	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2