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 2021-07-01 to 2025-07-01.)

Article	Citations
Hedging of Fixing Exposure	87
Issue Information	39
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	25
Optimal investment for retail investors	23
Joint calibration to SPX and VIX options with signature‐based models	18
Do investors gain by selling the tails of return distributions?	15
Long‐term risk with stochastic interest rates	15
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	14
	14
A Leland model for delta hedging in central risk books	13
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	13
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	13
Recent advances in reinforcement learning in finance	12
Robust distortion risk measures	12
Learning equilibrium mean‐variance strategy	11
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	11
Risk concentration and the mean‐expected shortfall criterion	11
Spanning Multi‐Asset Payoffs With ReLUs	11
Issue Information	10
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Issue Information	9
Issue Information	9
When does portfolio compression reduce systemic risk?	9
Mean–variance hedging of contingent claims with random maturity	9
Issue Information	9

Algorithmic market making in dealer markets with hedging and market impact	8
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	8
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	7
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	7
Expected median of a shifted Brownian motion: Theory and calculations	7
Deep empirical risk minimization in finance: Looking into the future	6
Optimal investment with correlated stochastic volatility factors	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
Issue Information	6
Noncausal affine processes with applications to derivative pricing	6
Preference robust distortion risk measure and its application	6
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
Special issue on machine learning in finance	5
On buybacks, dilutions, dividends, and the pricing of stock‐based claims	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Clustering heterogeneous financial networks	5
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood	5
Optimal dividend payout under stochastic discounting	5
	5
A general approximation method for optimal stopping and random delay	5
Fairness principles for insurance contracts in the presence of default risk	4
Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations	4
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	4
Model‐free portfolio theory: A rough path approach	4
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	4
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints	4
Pro‐cyclicality beyond business cycle	4
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	4
Issue Information	4
In memoriam: Marco Avellaneda (1955–2022)	3
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	3
Portfolio liquidation games with self‐exciting order flow	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
Issue Information	3
Optimal Contracts for Delegated Order Execution	3
Marco Avellaneda: Mathematician and trader	3
The fundamental theorem of asset pricing with and without transaction costs	3
Pathwise CVA regressions with oversimulated defaults	2
Issue Information	2
Distortion risk measures: Prudence, coherence, and the expected shortfall	2
Equilibrium investment with random risk aversion	2
Naïve Markowitz policies	2
Reinforcement learning with dynamic convex risk measures	2
Rough PDEs for Local Stochastic Volatility Models	2
Issue Information	2
Systemic risk in markets with multiple central counterparties	2

Issue Information	2
Time‐inconsistent contract theory	2
	2
Corporate debt value under transition scenario uncertainty	2
Sig‐Wasserstein GANs for conditional time series generation	2
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book	2
Risk Budgeting portfolios: Existence and computation	2
Designing universal causal deep learning models: The geometric (Hyper)transformer	2
The American put with finite‐time maturity and stochastic interest rate	2