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 2020-04-01 to 2024-04-01.)

Article	Citations
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance	15
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models	14
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model	13
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies	12
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	12
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics	11
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets	11
Robust Risk-Aware Reinforcement Learning	11
Law-Invariant Functionals on General Spaces of Random Variables	10
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics	10
Optimal Ratcheting of Dividends in a Brownian Risk Model	9
Optimal Make-Take Fees in a Multi Market-Maker Environment	9
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	9
A Unified Approach to xVA with CSA Discounting and Initial Margin	9
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	9
No Arbitrage SVI	8
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	8
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds	7
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations	7
Conditional Systemic Risk Measures	7
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems	7
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics	7
Suffocating Fire Sales	6
Short Communication: An Axiomatization of $\Lambda$-Quantiles	6
Log-Modulated Rough Stochastic Volatility Models	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
Competition in Fund Management and Forward Relative Performance Criteria	6
Reward Design in Risk-Taking Contests	6
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	6
Functional Portfolio Optimization in Stochastic Portfolio Theory	5
Portfolio Optimization within a Wasserstein Ball	5
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints	5
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients	5
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	5
Optimal Trading with Signals and Stochastic Price Impact	5
Optimal Investment and Consumption under a Habit-Formation Constraint	5
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium	5
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters	5
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework	5
Double-Execution Strategies Using Path Signatures	5
Robust Portfolio Choice with Sticky Wages	4
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	4
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	4
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	4
American Options in the Volterra Heston Model	4
Short Communication: A Note on Utility Indifference Pricing with Delayed Information	4
Series Expansions and Direct Inversion for the Heston Model	4
Finite Mixture Approximation of CARMA(p,q) Models	4
Optimal Dividend Problem: Asymptotic Analysis	4
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	4
Optimal Cross-Border Electricity Trading	3
Signature-Based Models: Theory and Calibration	3
Model-Free Price Bounds Under Dynamic Option Trading	3
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models	3
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection	3
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets	3
Normal Tempered Stable Processes and the Pricing of Energy Derivatives	3
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging	3
Pricing Options under Rough Volatility with Backward SPDEs	3
Weak Error Rates of Numerical Schemes for Rough Volatility	2
The Dispersion Bias	2
Erratum: The Robust Superreplication Problem: A Dynamic Approach	2
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models	2
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	2
Kelly Criterion: From a Simple Random Walk to Lévy Processes	2
Merton's Optimal Investment Problem with Jump Signals	2
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	2
Mean-Variance Portfolio Selection in Contagious Markets	2
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	2
Correlators of Polynomial Processes	2
Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models	2
A Random-Supply Mean Field Game Price Model	2
A Numerical Scheme for the Quantile Hedging Problem	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2

On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility	2
On the Discrete-Time Simulation of the Rough Heston Model	2
Randomized Optimal Stopping Algorithms and Their Convergence Analysis	2
Principal Eigenportfolios for U.S. Equities	2
On the Harmonic Mean Representation of the Implied Volatility	2
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles	2
Model Uncertainty: A Reverse Approach	2
Optimal Execution with Quadratic Variation Inventories	2
Optimal Market Making with Persistent Order Flow	2
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium	2
Low-Dimensional Approximations of High-Dimensional Asset Price Models	2