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 2020-11-01 to 2024-11-01.)

Article	Citations
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	19
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models	16
Robust Risk-Aware Reinforcement Learning	16
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics	16
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance	16
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets	15
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model	14
Law-Invariant Functionals on General Spaces of Random Variables	14
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies	13
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	12
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics	12
Optimal Ratcheting of Dividends in a Brownian Risk Model	12
Optimal Trading with Signals and Stochastic Price Impact	11
Optimal Make-Take Fees in a Multi Market-Maker Environment	10
Double-Execution Strategies Using Path Signatures	10
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	10
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints	9
A Unified Approach to xVA with CSA Discounting and Initial Margin	9
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations	9
No Arbitrage SVI	9
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	9
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	9
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds	8
Conditional Systemic Risk Measures	8
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics	8

Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems	8
Portfolio Optimization within a Wasserstein Ball	8
Robust Portfolio Choice with Sticky Wages	8
Signature-Based Models: Theory and Calibration	8
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients	7
Short Communication: An Axiomatization of $\Lambda$-Quantiles	7
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	7
Functional Portfolio Optimization in Stochastic Portfolio Theory	7
Pricing Options under Rough Volatility with Backward SPDEs	7
Optimal Investment and Consumption under a Habit-Formation Constraint	7
Reward Design in Risk-Taking Contests	7
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium	6
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Competition in Fund Management and Forward Relative Performance Criteria	6
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	6
Cross Currency Valuation and Hedging in the Multiple Curve Framework	6
Suffocating Fire Sales	6
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	6
Log-Modulated Rough Stochastic Volatility Models	6
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	5
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework	5
Optimal Execution with Quadratic Variation Inventories	4
Optimal Dividend Problem: Asymptotic Analysis	4
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	4
Model-Free Price Bounds Under Dynamic Option Trading	4
A Random-Supply Mean Field Game Price Model	4
Finite Mixture Approximation of CARMA(p,q) Models	4
Short Communication: A Primer on Perpetuals	4
Short Communication: A Note on Utility Indifference Pricing with Delayed Information	4
Series Expansions and Direct Inversion for the Heston Model	4
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models	4
American Options in the Volterra Heston Model	4
Mean-Variance Portfolio Selection in Contagious Markets	4
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	4
Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model	3
Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models	3
Optimal Market Making with Persistent Order Flow	3
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium	3
Interest Rates Term Structure Models Driven by Hawkes Processes	3
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets	3
Correlators of Polynomial Processes	3
Pricing Bermudan Options Using Regression Trees/Random Forests	3
Model Uncertainty: A Reverse Approach	3
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility	3
Optimal Cross-Border Electricity Trading	3
On the Discrete-Time Simulation of the Rough Heston Model	3
Randomized Optimal Stopping Algorithms and Their Convergence Analysis	3
A Mean-Field Game of Market-Making against Strategic Traders	3
Normal Tempered Stable Processes and the Pricing of Energy Derivatives	3

One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles	3
Merton's Optimal Investment Problem with Jump Signals	3
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection	3
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging	3
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing	2
Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs	2
The Dispersion Bias	2
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	2
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	2
Kelly Criterion: From a Simple Random Walk to Lévy Processes	2
Erratum: The Robust Superreplication Problem: A Dynamic Approach	2
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	2
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	2
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models	2
Utility Maximization in Multivariate Volterra Models	2
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
On the Harmonic Mean Representation of the Implied Volatility	2
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	2
Realization Utility with Path-Dependent Reference Points	2
Weak Error Rates of Numerical Schemes for Rough Volatility	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	2
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	2
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	2
Principal Eigenportfolios for U.S. Equities	2
A Numerical Scheme for the Quantile Hedging Problem	2
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems	2
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis	2
Low-Dimensional Approximations of High-Dimensional Asset Price Models	2