OOIR: Observatory of International Research

Papers

(The TQCC of Mathematical Finance is 5. 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
Long‐term risk with stochastic interest rates	19
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	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
Optimal investment with correlated stochastic volatility factors	5
Clustering heterogeneous financial networks	5
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