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 2020-05-01 to 2024-05-01.)

Article	Citations
Adapted Wasserstein distances and stability in mathematical finance	34
Optimal insurance with background risk: An analysis of general dependence structures	24
Reinforcement learning and stochastic optimisation	13
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem	11
Scenario-based risk evaluation	11
Duality theory for robust utility maximisation	11
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes	10
Markov decision processes with quasi-hyperbolic discounting	10
Extended weak convergence and utility maximisation with proportional transaction costs	8
Optimal consumption with reference to past spending maximum	8
Robust state-dependent mean–variance portfolio selection: a closed-loop approach	8
Additive logistic processes in option pricing	8
High-frequency trading with fractional Brownian motion	7
The Leland–Toft optimal capital structure model under Poisson observations	7
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	7
Optimal reduction of public debt under partial observation of the economic growth	7
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	7
Concavity, stochastic utility, and risk aversion	7
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	6
Dynamic mean–variance problem with frictions	6
Equilibrium asset pricing with transaction costs	6
A continuous-time asset market game with short-lived assets	5
Nonlinear expectations of random sets	5
Optimal execution with stochastic delay	5
Mean field portfolio games	4

The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	4
A unified framework for robust modelling of financial markets in discrete time	4
Asset prices in segmented and integrated markets	4
Risk arbitrage and hedging to acceptability under transaction costs	4
Machine learning with kernels for portfolio valuation and risk management	4
Change of drift in one-dimensional diffusions	4
From Bachelier to Dupire via optimal transport	3
Infinite-dimensional polynomial processes	3
Time reversal and last passage time of diffusions with applications to credit risk management	3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3
Filtration shrinkage, the structure of deflators, and failure of market completeness	3
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models	3
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	3
A splitting strategy for the calibration of jump-diffusion models	3
Optimal insurance under maxmin expected utility	3
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations	3
A general approach for Parisian stopping times under Markov processes	3
Price impact in Nash equilibria	2
Entropy martingale optimal transport and nonlinear pricing–hedging duality	2
Optional projection under equivalent local martingale measures	2
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	2
Realised volatility and parametric estimation of Heston SDEs	2
Scaled insurance cash flows: representation and computation via change of measure techniques	2
Set-valued risk measures as backward stochastic difference inclusions and equations	2
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle	2
Martingale Schrödinger bridges and optimal semistatic portfolios	2
A scaling limit for utility indifference prices in the discretised Bachelier model	2
A least-squares Monte Carlo approach to the estimation of enterprise risk	2
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	2
The influence of economic research on financial mathematics: Evidence from the last 25 years	2
Elicitability and identifiability of set-valued measures of systemic risk	1
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	1
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	1
Multi-utility representations of incomplete preferences induced by set-valued risk measures	1
A continuous-time model of self-protection	1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	1
Solving optimal stopping problems under model uncertainty via empirical dual optimisation	1
Optimal dividends under a drawdown constraint and a curious square-root rule	1
Log-optimal and numéraire portfolios for market models stopped at a random time	1
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	1
Hedging with physical or cash settlement under transient multiplicative price impact	1
Speculative trading, prospect theory and transaction costs	1
Editorial: 25th anniversary of Finance and Stochastics	1
A class of short-term models for the oil industry that accounts for speculative oil storage	1
Time-dynamic evaluations under non-monotone information generated by marked point processes	1
Jacobi stochastic volatility factor for the LIBOR market model	1
An analytical study of participating policies with minimum rate guarantee and surrender option	1
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs	1
A concept of copula robustness and its applications in quantitative risk management	1
The Riesz representation theorem and weak∗ compactness of semimartingales	1

On ruin probabilities with investments in a risky asset with a regime-switching price	1
The characteristic function of Gaussian stochastic volatility models: an analytic expression	1
Complete and competitive financial markets in a complex world	1