OOIR: Observatory of International Research

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 2020-11-01 to 2024-11-01.)

Article	Citations
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	19
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance	16
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models	16
Robust Risk-Aware Reinforcement Learning	16
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics	16
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets	15
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model	14
Law-Invariant Functionals on General Spaces of Random Variables	14
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies	13
Optimal Ratcheting of Dividends in a Brownian Risk Model	12
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	12
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics	12
Optimal Trading with Signals and Stochastic Price Impact	11
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	10
Optimal Make-Take Fees in a Multi Market-Maker Environment	10
Double-Execution Strategies Using Path Signatures	10
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	9
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	9
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints	9
A Unified Approach to xVA with CSA Discounting and Initial Margin	9
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations	9
No Arbitrage SVI	9
Robust Portfolio Choice with Sticky Wages	8
Signature-Based Models: Theory and Calibration	8
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds	8

Conditional Systemic Risk Measures	8
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics	8
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems	8
Portfolio Optimization within a Wasserstein Ball	8
Functional Portfolio Optimization in Stochastic Portfolio Theory	7
Pricing Options under Rough Volatility with Backward SPDEs	7
Optimal Investment and Consumption under a Habit-Formation Constraint	7
Reward Design in Risk-Taking Contests	7
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients	7
Short Communication: An Axiomatization of $\Lambda$-Quantiles	7
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	7
Suffocating Fire Sales	6
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	6
Log-Modulated Rough Stochastic Volatility Models	6
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium	6
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Competition in Fund Management and Forward Relative Performance Criteria	6
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	6
Cross Currency Valuation and Hedging in the Multiple Curve Framework	6
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework	5
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	5
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models	4
American Options in the Volterra Heston Model	4
Mean-Variance Portfolio Selection in Contagious Markets	4
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	4
Optimal Execution with Quadratic Variation Inventories	4
Optimal Dividend Problem: Asymptotic Analysis	4
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	4
Model-Free Price Bounds Under Dynamic Option Trading	4
A Random-Supply Mean Field Game Price Model	4
Finite Mixture Approximation of CARMA(p,q) Models	4
Short Communication: A Primer on Perpetuals	4
Short Communication: A Note on Utility Indifference Pricing with Delayed Information	4
Series Expansions and Direct Inversion for the Heston Model	4