OOIR: Observatory of International Research

Papers

(The TQCC of Finance and Stochastics is 3. 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 2021-05-01 to 2025-05-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	19
Risk sharing under heterogeneous beliefs without convexity	18
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	15
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	15
Speeding up the Euler scheme for killed diffusions	15
Martingale Schrödinger bridges and optimal semistatic portfolios	14
Robust utility maximisation with intractable claims	13
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	12
Deep neural network expressivity for optimal stopping problems	12
Optimal dividends under a drawdown constraint and a curious square-root rule	9
Fast and slow optimal trading with exogenous information	8
Optimal consumption with reference to past spending maximum	8
An Italian perspective on the development of financial mathematics from 1992 to 2008	8
The law of one price in quadratic hedging and mean–variance portfolio selection	8
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	7
Complete and competitive financial markets in a complex world	7
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models	5
Faking Brownian motion with continuous Markov martingales	5
Editorial: 25th anniversary of Finance and Stochastics	5
Mean field portfolio games	5
Reinforcement learning and stochastic optimisation	4
Quasi-sure essential supremum and applications to finance	4
The influence of economic research on financial mathematics: Evidence from the last 25 years	4
Hedging with physical or cash settlement under transient multiplicative price impact	4

Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity	4
Speculative trading, prospect theory and transaction costs	4
Polynomial approximation of discounted moments	3
Log-optimal and numéraire portfolios for market models stopped at a random time	3
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions	3
A least-squares Monte Carlo approach to the estimation of enterprise risk	3
Robustness of Hilbert space-valued stochastic volatility models	3
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	3
Time-dynamic evaluations under non-monotone information generated by marked point processes	3
Optimal investment in a large population of competitive and heterogeneous agents	3
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance	3
A general approach for Parisian stopping times under Markov processes	3
Extreme ATM skew in a local volatility model with discontinuity: joint density approach	3
Continuous-time incentives in hierarchies	3