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 2021-06-01 to 2025-06-01.)

Article	Citations
Issue Information	79
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	39
Optimal investment for retail investors	24
Long‐term risk with stochastic interest rates	21
Do investors gain by selling the tails of return distributions?	18
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	14
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	14
Joint calibration to SPX and VIX options with signature‐based models	14
	13
Robust distortion risk measures	12
Recent advances in reinforcement learning in finance	12
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations	12
A Leland model for delta hedging in central risk books	12
Spanning Multi‐Asset Payoffs With ReLUs	12
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	11
Risk concentration and the mean‐expected shortfall criterion	11
Learning equilibrium mean‐variance strategy	10
When does portfolio compression reduce systemic risk?	9
Issue Information	9
Issue Information	9
Issue Information	9
Issue Information	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
Mean–variance hedging of contingent claims with random maturity	9
Duality for optimal consumption with randomly terminating income	9

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	7
Algorithmic market making in dealer markets with hedging and market impact	7
Noncausal affine processes with applications to derivative pricing	6
Issue Information	6
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Preference robust distortion risk measure and its application	6
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
	5
Clustering heterogeneous financial networks	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Special issue on machine learning in finance	5
Convergence of optimal expected utility for a sequence of binomial models	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
A general approximation method for optimal stopping and random delay	5
Optimal dividend payout under stochastic discounting	5
Perturbation analysis of sub/super hedging problems	5