OOIR: Observatory of International Research

Papers

(The median citation count of Mathematical Finance is 2. 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.)

Article	Citations
Hedging of Fixing Exposure	99
Issue Information	39
Joint calibration to SPX and VIX options with signature‐based models	25
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	25
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	19
Long‐term risk with stochastic interest rates	19
	18
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	16
Do investors gain by selling the tails of return distributions?	15
A Leland model for delta hedging in central risk books	14
Robust distortion risk measures	12
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	12
Recent advances in reinforcement learning in finance	11
Learning equilibrium mean‐variance strategy	11
Spanning Multi‐Asset Payoffs With ReLUs	11
Risk concentration and the mean‐expected shortfall criterion	10
When does portfolio compression reduce systemic risk?	9
Issue Information	9
Correction to “Neural Optimal Stopping Boundary”	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Issue Information	9
Mean–variance hedging of contingent claims with random maturity	9
	9
Issue Information	7
Algorithmic market making in dealer markets with hedging and market impact	7

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

Issue Information	2
Reinforcement learning with dynamic convex risk measures	2
	2