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 2022-01-01 to 2026-01-01.)

Article	Citations
Risk-constrained portfolio choice under rank-dependent utility	25
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations	18
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	16
Risk sharing under heterogeneous beliefs without convexity	14
Martingale Schrödinger bridges and optimal semistatic portfolios	12
Speeding up the Euler scheme for killed diffusions	12
Deep neural network expressivity for optimal stopping problems	11
Robust utility maximisation with intractable claims	11
Fast and slow optimal trading with exogenous information	10
The law of one price in quadratic hedging and mean–variance portfolio selection	10
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	10
Optimal dividends under a drawdown constraint and a curious square-root rule	10
Optimal consumption with reference to past spending maximum	9
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	8
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
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems	6
Mean field portfolio games	6
Faking Brownian motion with continuous Markov martingales	6
Speculative trading, prospect theory and transaction costs	5
Hedging with physical or cash settlement under transient multiplicative price impact	5
Quasi-sure essential supremum and applications to finance	5
Collective arbitrage and the value of cooperation	4
Continuous-time incentives in hierarchies	4
Log-optimal and numéraire portfolios for market models stopped at a random time	4

A least-squares Monte Carlo approach to the estimation of enterprise risk	4
Robustness of Hilbert space-valued stochastic volatility models	4
Gamma hedging and rough paths	4
A general approach for Parisian stopping times under Markov processes	4
Primal and dual optimal stopping with signatures	4
Fundamental theorem of asset pricing with acceptable risk in markets with frictions	4
Polynomial approximation of discounted moments	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