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 2021-06-01 to 2025-06-01.)

Article	Citations
A Mathematical Framework for Modeling Order Book Dynamics	26
Optimal Investment with Time-Varying Stochastic Endowments	21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	16
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	16
A Mean-Field Game of Market-Making against Strategic Traders	15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	14
Shortfall Aversion on a Finite Horizon	14
Optimal Trading with Signals and Stochastic Price Impact	14
Signature-Based Models: Theory and Calibration	14
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	13
Interest Rates Term Structure Models Driven by Hawkes Processes	13
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	12
Short Communication: Chances for the Honest in Honest versus Insider Trading	12
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	12
Explicit Computations for Delayed Semistatic Hedging	12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
Double-Execution Strategies Using Path Signatures	10
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
On Bid and Ask Side-Specific Tick Sizes	9
Statistically Consistent Term Structures Have Affine Geometry	9
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	8
Constrained Monotone Mean-Variance Problem with Random Coefficients	8

A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8
A Mean Field Game between Informed Traders and a Broker	8
Suffocating Fire Sales	8
Mortgage Contracts and Underwater Default	8
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Relative Growth Rate Optimization Under Behavioral Criterion	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Principal Eigenportfolios for U.S. Equities	7
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Model Uncertainty: A Reverse Approach	7
Optimal Loss Reporting in Continuous Time with Full Insurance	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Robust Risk-Aware Reinforcement Learning	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Reconciling Rough Volatility with Jumps	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	5
Insiders and Their Free Lunches: The Role of Short Positions	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5