SIAM Journal on Financial Mathematics

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 2021-05-01 to 2025-05-01.)
ArticleCitations
Optimal Trading with Signals and Stochastic Price Impact25
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information16
A Mathematical Framework for Modeling Order Book Dynamics16
Optimal Investment with Time-Varying Stochastic Endowments15
A Mean-Field Game of Market-Making against Strategic Traders14
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional13
Shortfall Aversion on a Finite Horizon13
Signature-Based Models: Theory and Calibration13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients12
Short Communication: Is a Sophisticated Agent Always a Wise One?12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew12
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios12
Short Communication: Chances for the Honest in Honest versus Insider Trading12
Interest Rates Term Structure Models Driven by Hawkes Processes12
On Bid and Ask Side-Specific Tick Sizes10
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity9
Explicit Computations for Delayed Semistatic Hedging9
Mortgage Contracts and Underwater Default8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets8
Double-Execution Strategies Using Path Signatures8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework8
Constrained Monotone Mean-Variance Problem with Random Coefficients7
A Mean Field Game between Informed Traders and a Broker7
Competition in Fund Management and Forward Relative Performance Criteria7
Model Uncertainty: A Reverse Approach7
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities7
Statistically Consistent Term Structures Have Affine Geometry7
Optimal Loss Reporting in Continuous Time with Full Insurance7
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact7
Suffocating Fire Sales7
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets7
Relative Growth Rate Optimization Under Behavioral Criterion6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost6
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader6
Reconciling Rough Volatility with Jumps5
Principal Eigenportfolios for U.S. Equities5
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems5
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance5
Insiders and Their Free Lunches: The Role of Short Positions5
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