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 2021-09-01 to 2025-09-01.)
ArticleCitations
Hedging of Fixing Exposure99
Issue Information39
Joint calibration to SPX and VIX options with signature‐based models25
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems25
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions19
Long‐term risk with stochastic interest rates19
18
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules16
Do investors gain by selling the tails of return distributions?15
A Leland model for delta hedging in central risk books14
Robust distortion risk measures12
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations12
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