OOIR: Observatory of International Research

Papers

(The median citation count of Finance and Stochastics is 2. 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 2022-06-01 to 2026-06-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	20
Speeding up the Euler scheme for killed diffusions	18
Risk sharing under heterogeneous beliefs without convexity	16
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Robust utility maximisation with intractable claims	12
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	12
Deep neural network expressivity for optimal stopping problems	12
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	12
Nash equilibrium between brokers and traders	11
Optimal dividends under a drawdown constraint and a curious square-root rule	10
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Fast and slow optimal trading with exogenous information	7
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	7
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions	7
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	6
Faking Brownian motion with continuous Markov martingales	6
Hedging with physical or cash settlement under transient multiplicative price impact	6
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Calibration of local volatility models with stochastic interest rates using optimal transport	6
Quasi-sure essential supremum and applications to finance	6
Mean field portfolio games	6
Speculative trading, prospect theory and transaction costs	5
Collective arbitrage and the value of cooperation	5
Polynomial approximation of discounted moments	5

Robustness of Hilbert space-valued stochastic volatility models	5
Obituary: Dieter Sondermann (1937–2026)	5
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	5
Gamma hedging and rough paths	5
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	4
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	4
A general approach for Parisian stopping times under Markov processes	4
Coherent risk measures and uniform integrability	4
Primal and dual optimal stopping with signatures	4
Continuous-time incentives in hierarchies	4
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	3
Asset pricing with dynamically inconsistent agents	3
A concept of copula robustness and its applications in quantitative risk management	3
Convex ordering for stochastic Volterra equations and their Euler schemes	3
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
Proper solutions for Epstein–Zin stochastic differential utility	3
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	3
Optimal investment in a large population of competitive and heterogeneous agents	3
A framework of state-dependent utility optimisation with general benchmarks	3
Market-to-book ratio in stochastic portfolio theory	3
Rogue traders	3
Kyle’s model with stochastic liquidity	2
A continuous-time asset market game with short-lived assets	2
A framework for measures of risk under uncertainty	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	2
Optimal investment and consumption for financial markets with jumps under transaction costs	2
Pricing of contingent claims in large markets	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	2
Pricing options on flow forwards by neural networks in a Hilbert space	2
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal	2
A general moment formula	2
A class of short-term models for the oil industry that accounts for speculative oil storage	2
Optimal insurance under maxmin expected utility	2