OOIR: Observatory of International Research

Papers

(The TQCC of SIAM Journal on Financial Mathematics is 6. 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 2021-12-01 to 2025-12-01.)

Article	Citations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	29
A Mean-Field Game of Market-Making against Strategic Traders	25
Optimal Trading with Signals and Stochastic Price Impact	23
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	23
A Mathematical Framework for Modeling Order Book Dynamics	22
Optimal Investment with Time-Varying Stochastic Endowments	19
Model-Free Analysis of Dynamic Trading Strategies	18
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	17
Signature-Based Models: Theory and Calibration	16
Short Communication: Chances for the Honest in Honest versus Insider Trading	15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	14
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	14
Shortfall Aversion on a Finite Horizon	14
Short Communication: Is a Sophisticated Agent Always a Wise One?	14
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	13
Interest Rates Term Structure Models Driven by Hawkes Processes	13
Double-Execution Strategies Using Path Signatures	13
Signature Methods in Stochastic Portfolio Theory	13
Explicit Computations for Delayed Semistatic Hedging	12
On Bid and Ask Side-Specific Tick Sizes	12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	11
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	11

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
Suffocating Fire Sales	10
Constrained Monotone Mean-Variance Problem with Random Coefficients	10
Statistically Consistent Term Structures Have Affine Geometry	10
A Mean Field Game between Informed Traders and a Broker	10
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	9
Mortgage Contracts and Underwater Default	9
Optimal Loss Reporting in Continuous Time with Full Insurance	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	8
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Model Uncertainty: A Reverse Approach	8
Relative Growth Rate Optimization Under Behavioral Criterion	8
Competition in Fund Management and Forward Relative Performance Criteria	8
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	8
Principal Eigenportfolios for U.S. Equities	8
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	7
Reconciling Rough Volatility with Jumps	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	7
Insiders and Their Free Lunches: The Role of Short Positions	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	6
Option Pricing in Sandwiched Volterra Volatility Model	6