OOIR: Observatory of International Research

Papers

(The median citation count of Finance and Stochastics is 1. 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
Optimal insurance under maxmin expected utility	16
The influence of economic research on financial mathematics: Evidence from the last 25 years	15
Arbitrage problems with reflected geometric Brownian motion	14
Market-to-book ratio in stochastic portfolio theory	14
Thank you, Tomas!	13
Speculative trading, prospect theory and transaction costs	12
Asset pricing with dynamically inconsistent agents	11
Dynamic mean–variance problem with frictions	10
Convex ordering for stochastic Volterra equations and their Euler schemes	8
Quasi-sure essential supremum and applications to finance	8
Scenario-based risk evaluation	8
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	7
Hedging with physical or cash settlement under transient multiplicative price impact	7
A concept of copula robustness and its applications in quantitative risk management	7
Additive logistic processes in option pricing	6
Efficient evaluation of expectations of functions of a Lévy process and its extremum	6
Editorial: Special Issue in memory of Tomas Björk	5
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
From Bachelier to Dupire via optimal transport	5
Risk-constrained portfolio choice under rank-dependent utility	5
My journey through finance and stochastics	4
Reinforcement learning and stochastic optimisation	4
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	4
An analytical study of participating policies with minimum rate guarantee and surrender option	4
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	3

Robustness of Hilbert space-valued stochastic volatility models	3
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Rogue traders	3
Speeding up the Euler scheme for killed diffusions	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Risk sharing under heterogeneous beliefs without convexity	3
Martingale Schrödinger bridges and optimal semistatic portfolios	3
Pricing of contingent claims in large markets	3
Set-valued dynamic risk measures for processes and for vectors	3
In memoriam: Tomas Björk (1947–2021)	2
A càdlàg rough path foundation for robust finance	2
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets	2
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	2
Robust utility maximisation with intractable claims	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2
A general approach for Parisian stopping times under Markov processes	2
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	2
Polynomial approximation of discounted moments	2
Deep neural network expressivity for optimal stopping problems	2
A continuous-time asset market game with short-lived assets	2
Duality theory for robust utility maximisation	2
A stochastic control perspective on term structure models with roll-over risk	1
Optimal bubble riding: a mean field game with varying entry times	1
On the Guyon–Lekeufack volatility model	1
Duality in optimal consumption–investment problems with alternative data	1
A framework for measures of risk under uncertainty	1
Cost-efficient payoffs under model ambiguity	1
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	1
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models	1
Continuous-time incentives in hierarchies	1
Jacobi stochastic volatility factor for the LIBOR market model	1
Optimal dividends under a drawdown constraint and a curious square-root rule	1
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	1
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	1
Fast and slow optimal trading with exogenous information	1
Bubbles in discrete-time models	1
Discount models	1
Optimal consumption with reference to past spending maximum	1
Optimal execution with multiplicative price impact and incomplete information on the return	1
Present-biased lobbyists in linear–quadratic stochastic differential games	1