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 2021-05-01 to 2025-05-01.)

Article	Citations
Optimal Trading with Signals and Stochastic Price Impact	25
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	16
A Mathematical Framework for Modeling Order Book Dynamics	16
Optimal Investment with Time-Varying Stochastic Endowments	15
A Mean-Field Game of Market-Making against Strategic Traders	14
Shortfall Aversion on a Finite Horizon	13
Signature-Based Models: Theory and Calibration	13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	13
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	12
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	12
Short Communication: Chances for the Honest in Honest versus Insider Trading	12
Interest Rates Term Structure Models Driven by Hawkes Processes	12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
On Bid and Ask Side-Specific Tick Sizes	10
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
Explicit Computations for Delayed Semistatic Hedging	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Double-Execution Strategies Using Path Signatures	8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8
Mortgage Contracts and Underwater Default	8
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	7

Statistically Consistent Term Structures Have Affine Geometry	7
Optimal Loss Reporting in Continuous Time with Full Insurance	7
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	7
Suffocating Fire Sales	7
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	7
Constrained Monotone Mean-Variance Problem with Random Coefficients	7
A Mean Field Game between Informed Traders and a Broker	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Model Uncertainty: A Reverse Approach	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Insiders and Their Free Lunches: The Role of Short Positions	5
Reconciling Rough Volatility with Jumps	5
Principal Eigenportfolios for U.S. Equities	5
Option Pricing in Sandwiched Volterra Volatility Model	4
Robust Risk-Aware Reinforcement Learning	4
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	4
Short Communication: On the Separability of Vector-Valued Risk Measures	4
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	4
Robust Portfolio Choice with Sticky Wages	4
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	3
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	3
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	3
The Dispersion Bias	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	3
Utility Maximization in Multivariate Volterra Models	3
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	3
Escrow and Clawback	3
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	3
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	3
Risk Measures beyond Frictionless Markets	3
Pricing Bermudan Options Using Regression Trees/Random Forests	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
Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	2
Functional Portfolio Optimization in Stochastic Portfolio Theory	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Robust Market Convergence: From Discrete to Continuous Time	2
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	2
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	2

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Short Communication: An Axiomatization of $\Lambda$-Quantiles	2
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	2
Collective Free Lunch and the FTAP	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2