OOIR: Observatory of International Research

Papers

(The TQCC of Finance and Stochastics is 4. 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