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 2021-11-01 to 2025-11-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	24
Martingale Schrödinger bridges and optimal semistatic portfolios	22
Speeding up the Euler scheme for killed diffusions	16
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	15
Risk sharing under heterogeneous beliefs without convexity	11
Robust utility maximisation with intractable claims	10
Fast and slow optimal trading with exogenous information	10
Deep neural network expressivity for optimal stopping problems	10
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	10
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	10
Optimal dividends under a drawdown constraint and a curious square-root rule	9
The law of one price in quadratic hedging and mean–variance portfolio selection	9
Optimal consumption with reference to past spending maximum	8
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions	7
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Editorial: 25th anniversary of Finance and Stochastics	6
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
The influence of economic research on financial mathematics: Evidence from the last 25 years	5
Mean field portfolio games	5
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	5
Faking Brownian motion with continuous Markov martingales	5
Quasi-sure essential supremum and applications to finance	5
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	4
Gamma hedging and rough paths	4

Robustness of Hilbert space-valued stochastic volatility models	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Primal and dual optimal stopping with signatures	4
Reinforcement learning and stochastic optimisation	4
Hedging with physical or cash settlement under transient multiplicative price impact	4
A general approach for Parisian stopping times under Markov processes	4
Polynomial approximation of discounted moments	4
Speculative trading, prospect theory and transaction costs	4
Log-optimal and numéraire portfolios for market models stopped at a random time	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Machine learning with kernels for portfolio valuation and risk management	3
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	3
Optimal investment in a large population of competitive and heterogeneous agents	3
Continuous-time incentives in hierarchies	3
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches	3
A framework of state-dependent utility optimisation with general benchmarks	3
Proper solutions for Epstein–Zin stochastic differential utility	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	2
Convex ordering for stochastic Volterra equations and their Euler schemes	2
My journey through finance and stochastics	2
A continuous-time asset market game with short-lived assets	2
Kyle’s model with stochastic liquidity	2
Optimal investment and consumption for financial markets with jumps under transaction costs	2
Asset pricing with dynamically inconsistent agents	2
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	2
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal	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 moment formula	2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	2
Rogue traders	2
A concept of copula robustness and its applications in quantitative risk management	2
Market-to-book ratio in stochastic portfolio theory	2
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	2
A framework for measures of risk under uncertainty	2
Pricing of contingent claims in large markets	2