Mathematical Finance

Papers
(The H4-Index of Mathematical Finance is 12. 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 2021-04-01 to 2025-04-01.)
ArticleCitations
Algorithmic market making in dealer markets with hedging and market impact68
An infinite‐dimensional affine stochastic volatility model33
Closed‐loop Nash competition for liquidity22
Issue Information20
Issue Information18
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs18
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach17
Risk‐neutral pricing techniques and examples17
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics14
Penalty method for portfolio selection with capital gains tax13
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society12
Inter‐temporal mutual‐fund management12
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