SIAM Journal on Financial Mathematics

Papers
(The TQCC of SIAM Journal on Financial Mathematics is 3. 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 2021-03-01 to 2025-03-01.)
ArticleCitations
Pricing Options under Rough Volatility with Backward SPDEs21
Relative Growth Rate Optimization Under Behavioral Criterion16
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets16
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance12
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions12
The Dispersion Bias12
Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization11
Contingent Convertible Obligations and Financial Stability10
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information10
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader9
Escrow and Clawback9
Optimal Investment with Time-Varying Stochastic Endowments9
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost8
Principal Eigenportfolios for U.S. Equities8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time8
Erratum: The Robust Superreplication Problem: A Dynamic Approach8
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets7
Optimal Trading with Signals and Stochastic Price Impact7
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems7
A Mean-Field Game of Market-Making against Strategic Traders7
Joint Modeling and Calibration of SPX and VIX by Optimal Transport7
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility6
Robust Control Problems of BSDEs Coupled with Value Functions6
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models6
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact6
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew6
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning6
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates6
Optimal Ratcheting of Dividends in a Brownian Risk Model5
Weak Error Rates of Numerical Schemes for Rough Volatility4
Short Communication: An Axiomatization of $\Lambda$-Quantiles4
Endogenous Noise Trackers in a Radner Equilibrium4
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost4
Reconciling Rough Volatility with Jumps4
Optimal Dividends Under Model Uncertainty4
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems3
Short Communication: Utility-Based Acceptability Indices3
Mild to Classical Solutions for XVA Equations under Stochastic Volatility3
Short Communication: A Primer on Perpetuals3
Insiders and Their Free Lunches: The Role of Short Positions3
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria3
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy3
Signature-Based Models: Theory and Calibration3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze3
A Multi-agent Targeted Trading Equilibrium with Transaction Costs3
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional3
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players3
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