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 2021-06-01 to 2025-06-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	22
Risk sharing under heterogeneous beliefs without convexity	20
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	16
Speeding up the Euler scheme for killed diffusions	15
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	15
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Deep neural network expressivity for optimal stopping problems	13
Robust utility maximisation with intractable claims	13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	12
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Fast and slow optimal trading with exogenous information	9
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
Optimal consumption with reference to past spending maximum	8
Complete and competitive financial markets in a complex world	8
Optimal dividends under a drawdown constraint and a curious square-root rule	8
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
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	5
Faking Brownian motion with continuous Markov martingales	5
Quasi-sure essential supremum and applications to finance	5
Robustness of Hilbert space-valued stochastic volatility models	4

Speculative trading, prospect theory and transaction costs	4
Reinforcement learning and stochastic optimisation	4
Hedging with physical or cash settlement under transient multiplicative price impact	4
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Time-dynamic evaluations under non-monotone information generated by marked point processes	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Continuous-time incentives in hierarchies	3
A framework of state-dependent utility optimisation with general benchmarks	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Polynomial approximation of discounted moments	3
A general approach for Parisian stopping times under Markov processes	3
Machine learning with kernels for portfolio valuation and risk management	3
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing	3
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies	2
Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$	2
Convex ordering for stochastic Volterra equations and their Euler schemes	2
Pricing of contingent claims in large markets	2
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria	2
Asset pricing with dynamically inconsistent agents	2
Market-to-book ratio in stochastic portfolio theory	2
Rogue traders	2
A continuous-time asset market game with short-lived assets	2
A concept of copula robustness and its applications in quantitative risk management	2
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces	2
Optimal investment in a large population of competitive and heterogeneous agents	2
My journey through finance and stochastics	2
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$	2
Bubbles in discrete-time models	1
Optimal insurance under maxmin expected utility	1
Pricing options on flow forwards by neural networks in a Hilbert space	1
A class of short-term models for the oil industry that accounts for speculative oil storage	1
A scaling limit for utility indifference prices in the discretised Bachelier model	1
Entropy martingale optimal transport and nonlinear pricing–hedging duality	1
Gaussian agency problems with memory and linear contracts	1
Thank you, Tomas!	1
In memoriam: Tomas Björk (1947–2021)	1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models	1
A framework for measures of risk under uncertainty	1
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models	1
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting	1
Contagious McKean–Vlasov systems with heterogeneous impact and exposure	1
Measuring risk contagion in financial networks with CoVaR	1
Dynamic mean–variance problem with frictions	1
From Bachelier to Dupire via optimal transport	1
Optimal investment and consumption for financial markets with jumps under transaction costs	1
Jacobi stochastic volatility factor for the LIBOR market model	1
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	1

A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models	1
Existence of an equilibrium with limited participation	1
Solving optimal stopping problems under model uncertainty via empirical dual optimisation	1