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 2021-04-01 to 2025-04-01.)

Article	Citations
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	22
A Mathematical Framework for Modeling Order Book Dynamics	16
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions	16
Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization	15
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	13
Contingent Convertible Obligations and Financial Stability	13
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	12
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	12
Escrow and Clawback	12
Optimal Investment with Time-Varying Stochastic Endowments	12
Relative Growth Rate Optimization Under Behavioral Criterion	12
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	10
The Dispersion Bias	10
Erratum: The Robust Superreplication Problem: A Dynamic Approach	9
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	9
A Mean-Field Game of Market-Making against Strategic Traders	9
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	8
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	8
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	8
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models	7
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	7
Optimal Trading with Signals and Stochastic Price Impact	7
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	7
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	7
Robust Control Problems of BSDEs Coupled with Value Functions	7

Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems	7
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	7
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems	6
Pricing Options under Rough Volatility with Backward SPDEs	6
Endogenous Noise Trackers in a Radner Equilibrium	6
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	6
Insiders and Their Free Lunches: The Role of Short Positions	6
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	6
Principal Eigenportfolios for U.S. Equities	6
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria	5
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Short Communication: Utility-Based Acceptability Indices	4
Optimal Dividends Under Model Uncertainty	4
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	4
A Multi-agent Targeted Trading Equilibrium with Transaction Costs	4
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics	4
Mild to Classical Solutions for XVA Equations under Stochastic Volatility	4