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 2021-11-01 to 2025-11-01.)

Article	Citations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	28
A Mean-Field Game of Market-Making against Strategic Traders	24
Optimal Trading with Signals and Stochastic Price Impact	23
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	21
Optimal Investment with Time-Varying Stochastic Endowments	19
A Mathematical Framework for Modeling Order Book Dynamics	18
Signature-Based Models: Theory and Calibration	16
Model-Free Analysis of Dynamic Trading Strategies	16
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
Shortfall Aversion on a Finite Horizon	15
Short Communication: Chances for the Honest in Honest versus Insider Trading	14
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	13
On Bid and Ask Side-Specific Tick Sizes	12
Signature Methods in Stochastic Portfolio Theory	12
Double-Execution Strategies Using Path Signatures	12
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	12
Interest Rates Term Structure Models Driven by Hawkes Processes	12
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	11
Statistically Consistent Term Structures Have Affine Geometry	10
Suffocating Fire Sales	10
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	10

Explicit Computations for Delayed Semistatic Hedging	10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	10
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
A Mean Field Game between Informed Traders and a Broker	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
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	9
Mortgage Contracts and Underwater Default	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	8
Model Uncertainty: A Reverse Approach	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	8
Optimal Loss Reporting in Continuous Time with Full Insurance	8
Competition in Fund Management and Forward Relative Performance Criteria	8
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	7
Relative Growth Rate Optimization Under Behavioral Criterion	7
Principal Eigenportfolios for U.S. Equities	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	7
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	7
Reconciling Rough Volatility with Jumps	6
Insiders and Their Free Lunches: The Role of Short Positions	6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	6
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	6
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Market Making with Exogenous Competition	5
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	5
Option Pricing in Sandwiched Volterra Volatility Model	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market	5
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	5
Robust Risk-Aware Reinforcement Learning	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Robust Portfolio Choice with Sticky Wages	5
Short Communication: On the Separability of Vector-Valued Risk Measures	5
On Conditioning and Consistency for Nonlinear Functionals	4
Pricing Bermudan Options Using Regression Trees/Random Forests	4
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	4
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Risk Measures beyond Frictionless Markets	4
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	4
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	4
Utility Maximization in Multivariate Volterra Models	4
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	4
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Collective Free Lunch and the FTAP	3
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	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

Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Robust Market Convergence: From Discrete to Continuous Time	3
Signature Volatility Models: Pricing and Hedging with Fourier	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	3
Escrow and Clawback	3
Functional Portfolio Optimization in Stochastic Portfolio Theory	3
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	3
The Dispersion Bias	3
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm	2
Optimal Ratcheting of Dividends in a Brownian Risk Model	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices	2
High Order Approximations and Simulation Schemes for the Log-Heston Process	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Order Book Queue Hawkes Markovian Modeling	2
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	2