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 2022-06-01 to 2026-06-01.)

Article	Citations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	30
A Mathematical Framework for Modeling Order Book Dynamics	27
Optimal Investment with Time-Varying Stochastic Endowments	27
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	23
Optimal Trading with Signals and Stochastic Price Impact	20
A Mean-Field Game of Market-Making against Strategic Traders	18
Model-Free Analysis of Dynamic Trading Strategies	17
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	15
Signature-Based Models: Theory and Calibration	15
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
Shortfall Aversion on a Finite Horizon	14
Short Communication: Is a Sophisticated Agent Always a Wise One?	14
Signature Methods in Stochastic Portfolio Theory	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
On Bid and Ask Side-Specific Tick Sizes	11
Price Impact and Long-Term Profitability of Energy Storage	11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Double-Execution Strategies Using Path Signatures	10
Explicit Computations for Delayed Semistatic Hedging	10
Statistically Consistent Term Structures Have Affine Geometry	10
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	10

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

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Global Convergence of Deep Galerkin and PINN Methods for Solving Partial Differential Equations	3
Robust Control Problems of BSDEs Coupled with Value Functions	2
Signature Volatility Models: Pricing and Hedging with Fourier	2
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	2
Nonconcave Utility Maximization with Transaction Costs	2
Order Book Queue Hawkes Markovian Modeling	2
Dual Representations for Quasiconvex Compositions with Applications to Systemic Risk Measures	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
High Order Approximations and Simulation Schemes for the Log-Heston Process	2
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	2
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm	2
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Optimal Reinsurance Design under the Moment-Based Premium Principle: A Representative Reinsurer’s Perspective	2
Robust Market Convergence: From Discrete to Continuous Time	2
Collective Free Lunch and the FTAP	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Optimal Ratcheting of Dividends in a Brownian Risk Model	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2