OOIR: Observatory of International Research

Papers

(The median citation count of Mathematical Finance is 1. 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 2021-11-01 to 2025-11-01.)

Article	Citations
Hedging of Fixing Exposure	109
Partial Information in a Mean‐Variance Portfolio Selection Game	40
Issue Information	28
	25
Long‐term risk with stochastic interest rates	22
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	20
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	20
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	18
Joint calibration to SPX and VIX options with signature‐based models	17
Do investors gain by selling the tails of return distributions?	16
A Leland model for delta hedging in central risk books	15
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	14
Robust distortion risk measures	14
Spanning Multi‐Asset Payoffs With ReLUs	13
Recent advances in reinforcement learning in finance	13
Risk concentration and the mean‐expected shortfall criterion	13
Learning equilibrium mean‐variance strategy	12
Issue Information	12
Mean–variance hedging of contingent claims with random maturity	11
When does portfolio compression reduce systemic risk?	10
Correction to “Neural Optimal Stopping Boundary”	10
Issue Information	9
Issue Information	9
	9
Issue Information	9

Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Algorithmic market making in dealer markets with hedging and market impact	8
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	7
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Deep empirical risk minimization in finance: Looking into the future	6
Issue Information	6
Expected median of a shifted Brownian motion: Theory and calculations	6
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Optimal Liquidation With Signals: The General Propagator Case	6
Noncausal affine processes with applications to derivative pricing	6
Clustering heterogeneous financial networks	5
Optimal dividend payout under stochastic discounting	5
Optimal investment with correlated stochastic volatility factors	5
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	5
Preference robust distortion risk measure and its application	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family	4
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	4
Special issue on machine learning in finance	4
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	4
Fairness principles for insurance contracts in the presence of default risk	4
A general approximation method for optimal stopping and random delay	4
	4
Pro‐cyclicality beyond business cycle	4
Polar Coordinates for the 3/2 Stochastic Volatility Model	4
Model‐free portfolio theory: A rough path approach	3
Issue Information	3
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	3
Optimal measure preserving derivatives revisited	3
Issue Information	3
Portfolio liquidation games with self‐exciting order flow	3
Issue Information	3
In memoriam: Marco Avellaneda (1955–2022)	3
Optimal Contracts for Delegated Order Execution	3
Marco Avellaneda: Mathematician and trader	3
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	3
Risk Sharing, Measuring Variability, and Distortion Riskmetrics	3
Designing stablecoins	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Systemic risk in markets with multiple central counterparties	3
The fundamental theorem of asset pricing with and without transaction costs	3
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	3
Issue Information	2
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending	2
Risk Budgeting portfolios: Existence and computation	2
Designing universal causal deep learning models: The geometric (Hyper)transformer	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Equilibrium investment with random risk aversion	2
Time‐inconsistent contract theory	2

Reinforcement learning with dynamic convex risk measures	2
Sig‐Wasserstein GANs for conditional time series generation	2
Issue Information	2
Rough PDEs for Local Stochastic Volatility Models	2
Naïve Markowitz policies	1
Term structure modeling with overnight rates beyond stochastic continuity	1
A model‐free approach to continuous‐time finance	1
	1
While stability lasts: A stochastic model of noncustodial stablecoins	1
Statistical Learning of Value‐at‐Risk and Expected Shortfall	1
Equilibrium price in intraday electricity markets	1
	1
Corporate debt value under transition scenario uncertainty	1
	1
Quantitative Fundamental Theorem of Asset Pricing	1
Order Routing and Market Quality: Who Benefits From Internalization?	1
Pathwise CVA regressions with oversimulated defaults	1
The American put with finite‐time maturity and stochastic interest rate	1
	1
Issue Information	1
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1
The rough Hawkes Heston stochastic volatility model	1