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 2022-08-01 to 2026-08-01.)

Article	Citations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	35
Optimal Investment with Time-Varying Stochastic Endowments	28
A Mathematical Framework for Modeling Order Book Dynamics	23
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	22
Optimal Trading with Signals and Stochastic Price Impact	18
Model-Free Analysis of Dynamic Trading Strategies	18
A Mean-Field Game of Market-Making against Strategic Traders	18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	17
Shortfall Aversion on a Finite Horizon	16
Signature-Based Models: Theory and Calibration	16
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	15
Signature Methods in Stochastic Portfolio Theory	15
Short Communication: Is a Sophisticated Agent Always a Wise One?	15
Interest Rates Term Structure Models Driven by Hawkes Processes	14
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	14
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
Price Impact and Long-Term Profitability of Energy Storage	12
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
On Bid and Ask Side-Specific Tick Sizes	11
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
Double-Execution Strategies Using Path Signatures	11
Statistically Consistent Term Structures Have Affine Geometry	10
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	10

Explicit Computations for Delayed Semistatic Hedging	10
A Mean Field Game between Informed Traders and a Broker	10
Mortgage Contracts and Underwater Default	10
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	9
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	9
Optimal Loss Reporting in Continuous Time with Full Insurance	9
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
Model Uncertainty: A Reverse Approach	8
Wasserstein Ergodicity of a Chen-Type Model with Correlated Noise	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
Competition in Fund Management and Forward Relative Performance Criteria	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings	7
Computing Systemic Risk Measures with Graph Neural Networks	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	6
Option Pricing in Sandwiched Volterra Volatility Model	5
Collateralized Networks with Two Interacting Channels of Fire Sales	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	5
Insiders and Their Free Lunches: The Role of Short Positions	5
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market	5
Reconciling Rough Volatility with Jumps	5
Time-Causal VAE: Robust Financial Time Series Generator	5