OOIR: Observatory of International Research

Papers

(The TQCC of SIAM Journal on Financial Mathematics is 5. 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 2022-05-01 to 2026-05-01.)

Article	Citations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	34
A Mean-Field Game of Market-Making against Strategic Traders	26
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	26
Optimal Trading with Signals and Stochastic Price Impact	25
Optimal Investment with Time-Varying Stochastic Endowments	23
A Mathematical Framework for Modeling Order Book Dynamics	20
Model-Free Analysis of Dynamic Trading Strategies	18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Signature-Based Models: Theory and Calibration	17
Short Communication: Is a Sophisticated Agent Always a Wise One?	15
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	14
Shortfall Aversion on a Finite Horizon	14
Signature Methods in Stochastic Portfolio Theory	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	14
Double-Execution Strategies Using Path Signatures	13
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Price Impact and Long-Term Profitability of Energy Storage	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	11
Mortgage Contracts and Underwater Default	10
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	10

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
Statistically Consistent Term Structures Have Affine Geometry	10
A Mean Field Game between Informed Traders and a Broker	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
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
Optimal Loss Reporting in Continuous Time with Full Insurance	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Wasserstein Ergodicity of a Chen-Type Model with Correlated Noise	7
Model Uncertainty: A Reverse Approach	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Principal Eigenportfolios for U.S. Equities	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Reconciling Rough Volatility with Jumps	5
Insiders and Their Free Lunches: The Role of Short Positions	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Robust Portfolio Choice with Sticky Wages	5
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Market Making with Exogenous Competition	5
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	5
Time-Causal VAE: Robust Financial Time Series Generator	5