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 2022-08-01 to 2026-08-01.)

Article	Citations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	35
Optimal Investment with Time-Varying Stochastic Endowments	28
A Mathematical Framework for Modeling Order Book Dynamics	23
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	22
A Mean-Field Game of Market-Making against Strategic Traders	18
Optimal Trading with Signals and Stochastic Price Impact	18
Model-Free Analysis of Dynamic Trading Strategies	18
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	17
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Shortfall Aversion on a Finite Horizon	16
Signature-Based Models: Theory and Calibration	16
Short Communication: Is a Sophisticated Agent Always a Wise One?	15
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	15
Signature Methods in Stochastic Portfolio Theory	15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Price Impact and Long-Term Profitability of Energy Storage	12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
Double-Execution Strategies Using Path Signatures	11
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	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	10
A Mean Field Game between Informed Traders and a Broker	10

Mortgage Contracts and Underwater Default	10
Statistically Consistent Term Structures Have Affine Geometry	10
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	10
Optimal Loss Reporting in Continuous Time with Full Insurance	9
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	9
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	9
Competition in Fund Management and Forward Relative Performance Criteria	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
Model Uncertainty: A Reverse Approach	8
Wasserstein Ergodicity of a Chen-Type Model with Correlated Noise	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings	7
Computing Systemic Risk Measures with Graph Neural Networks	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	6
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Reconciling Rough Volatility with Jumps	5
Time-Causal VAE: Robust Financial Time Series Generator	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Collateralized Networks with Two Interacting Channels of Fire Sales	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	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	5
Optimal Consumption under Relaxed Benchmark Tracking and Consumption Drawdown Constraint	4
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Market Making with Exogenous Competition	4
Two-Fund Separation Under Hyperbolically Distributed Returns and Concave Utility Functions	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	4
Robust Portfolio Choice with Sticky Wages	4
Complex Discontinuities of the Square Root of Fredholm Determinants in the Volterra Stein–Stein Stochastic Volatility Model	4
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	4
Pricing Bermudan Options Using Regression Trees/Random Forests	4
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	4
Short Communication: On the Separability of Vector-Valued Risk Measures	4
Utility Maximization in Multivariate Volterra Models	4
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	3
Risk Measures beyond Frictionless Markets	3
Finite-Horizon Consumption and Investment Problem with Loss Aversion to Consumption Changes	3
The McCormick Martingale Optimal Transport	3
Global Convergence of Deep Galerkin and PINN Methods for Solving Partial Differential Equations	3
On Conditioning and Consistency for Nonlinear Functionals	3
Escrow and Clawback	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
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	3
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria	3
Optimal Reinsurance Design under the Moment-Based Premium Principle: A Representative Reinsurer’s Perspective	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Robust Market Convergence: From Discrete to Continuous Time	2
Collective Free Lunch and the FTAP	2
High Order Approximations and Simulation Schemes for the Log-Heston Process	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
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2
Signature Volatility Models: Pricing and Hedging with Fourier	2
Dual Representations for Quasiconvex Compositions with Applications to Systemic Risk Measures	2
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
The Checkerboard Copula and Dependence Concepts	2
Order Book Queue Hawkes Markovian Modeling	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
Nonconcave Utility Maximization with Transaction Costs	2
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Explicit Option Pricing with Additive Processes	2
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2