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

Article	Citations
Partial Information in a Mean‐Variance Portfolio Selection Game	129
Hedging of Fixing Exposure	43
Issue Information	30
	28
Do investors gain by selling the tails of return distributions?	24
Long‐term risk with stochastic interest rates	24
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	24
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	23
Joint calibration to SPX and VIX options with signature‐based models	21
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	17
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	15
Recent advances in reinforcement learning in finance	14
Robust distortion risk measures	14
Learning equilibrium mean‐variance strategy	13
Risk concentration and the mean‐expected shortfall criterion	13
Spanning Multi‐Asset Payoffs With ReLUs	13
Issue Information	12
Mean–variance hedging of contingent claims with random maturity	11
Issue Information	11
When does portfolio compression reduce systemic risk?	11
Elicitability and Identifiability of Tail Risk Measures	11
Correction to “Neural Optimal Stopping Boundary”	11
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	10
	10

Issue Information	9
Issue Information	9
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	8
Algorithmic market making in dealer markets with hedging and market impact	8
Deep empirical risk minimization in finance: Looking into the future	7
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	7
Noncausal affine processes with applications to derivative pricing	7
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	6
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models	6
Optimal Liquidation With Signals: The General Propagator Case	6
Issue Information	6
Special issue on machine learning in finance	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
Preference robust distortion risk measure and its application	5
Optimal dividend payout under stochastic discounting	5
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family	5
Clustering heterogeneous financial networks	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
A general approximation method for optimal stopping and random delay	5
Optimal investment with correlated stochastic volatility factors	5
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	4
Risk Sharing, Measuring Variability, and Distortion Riskmetrics	4
Issue Information	4
Fairness principles for insurance contracts in the presence of default risk	4
Pro‐cyclicality beyond business cycle	4
Designing stablecoins	4
	4
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	4
Robust Bernoulli Mixture Models for Credit Portfolio Risk	4
Model‐free portfolio theory: A rough path approach	4
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Decentralized Prediction Markets and Sports Books	3
Marco Avellaneda: Mathematician and trader	3
Systemic risk in markets with multiple central counterparties	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
In memoriam: Marco Avellaneda (1955–2022)	3
Optimal Contracts for Delegated Order Execution	3
The fundamental theorem of asset pricing with and without transaction costs	3
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information	3
Equilibrium investment with random risk aversion	2
Reinforcement learning with dynamic convex risk measures	2
Issue Information	2
Unwinding Stochastic Order Flow: When to Warehouse Trades	2
An Extended Merton Problem With Relaxed Benchmark Tracking	2
Rough PDEs for Local Stochastic Volatility Models	2

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending	2
Sig‐Wasserstein GANs for conditional time series generation	2
Risk Budgeting portfolios: Existence and computation	2
Designing universal causal deep learning models: The geometric (Hyper)transformer	2
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Issue Information	2
Term structure modeling with overnight rates beyond stochastic continuity	1
	1
Corporate debt value under transition scenario uncertainty	1
	1
While stability lasts: A stochastic model of noncustodial stablecoins	1
Time‐inconsistent contract theory	1
Issue Information	1
Naïve Markowitz policies	1
	1
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence	1
Pathwise CVA regressions with oversimulated defaults	1
The American put with finite‐time maturity and stochastic interest rate	1
A model‐free approach to continuous‐time finance	1
Quantitative Fundamental Theorem of Asset Pricing	1
	1