SIAM Journal on Financial Mathematics

Papers
(The TQCC of SIAM Journal on Financial Mathematics is 4. 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 2020-02-01 to 2024-02-01.)
ArticleCitations
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance15
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model12
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact12
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models12
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies11
Robust Risk-Aware Reinforcement Learning11
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics10
Optimal Ratcheting of Dividends in a Brownian Risk Model9
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics9
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets9
Joint Modeling and Calibration of SPX and VIX by Optimal Transport9
Optimal Make-Take Fees in a Multi Market-Maker Environment9
Law-Invariant Functionals on General Spaces of Random Variables9
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew9
A Unified Approach to xVA with CSA Discounting and Initial Margin8
No Arbitrage SVI8
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs8
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations7
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds7
Conditional Systemic Risk Measures7
Suffocating Fire Sales6
Log-Modulated Rough Stochastic Volatility Models6
Competition in Fund Management and Forward Relative Performance Criteria6
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity6
Cross Currency Valuation and Hedging in the Multiple Curve Framework6
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems6
Reward Design in Risk-Taking Contests6
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics6
Optimal Investment and Consumption under a Habit-Formation Constraint5
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters5
Optimal Trading with Signals and Stochastic Price Impact5
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework5
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients5
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players5
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints5
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium5
Short Communication: An Axiomatization of $\Lambda$-Quantiles5
Finite Mixture Approximation of CARMA(p,q) Models4
Functional Portfolio Optimization in Stochastic Portfolio Theory4
Short Communication: A Note on Utility Indifference Pricing with Delayed Information4
Series Expansions and Direct Inversion for the Heston Model4
Robust Portfolio Choice with Sticky Wages4
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew4
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems4
Double-Execution Strategies Using Path Signatures4
Optimal Dividend Problem: Asymptotic Analysis4
Portfolio Optimization within a Wasserstein Ball4
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach4
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