OOIR: Observatory of International Research

Papers

(The TQCC of Mathematical Finance is 4. 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 2021-04-01 to 2025-04-01.)

Article	Citations
Algorithmic market making in dealer markets with hedging and market impact	68
An infinite‐dimensional affine stochastic volatility model	33
Closed‐loop Nash competition for liquidity	22
Issue Information	20
Issue Information	18
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs	18
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach	17
Risk‐neutral pricing techniques and examples	17
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	14
Penalty method for portfolio selection with capital gains tax	13
Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society	12
Inter‐temporal mutual‐fund management	12
The American put with finite‐time maturity and stochastic interest rate	11
GANs training: A game and stochastic control approach	11
Consistent time‐homogeneous modeling of SPX and VIX derivatives	10
Pathwise CVA regressions with oversimulated defaults	10
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	10
Risk‐sensitive benchmarked asset management with expert forecasts	10
Issue Information	10
Detecting asset price bubbles using deep learning	9
	9
Corporate debt value under transition scenario uncertainty	9
	9
Option pricing models without probability: a rough paths approach	8
Arbitrage theory in a market of stochastic dimension	8

Issue Information	8
In memoriam: Marco Avellaneda (1955–2022)	7
Term structure modeling with overnight rates beyond stochastic continuity	7
On Time‐Inconsistency in Mean‐Field Games	7
Naïve Markowitz policies	7
Almost strong equilibria for time‐inconsistent stopping problems under finite horizon in continuous time	7
	6
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	6
	6
Marco Avellaneda: Mathematician and trader	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Issue Information	5
A model‐free approach to continuous‐time finance	5
Noncausal affine processes with applications to derivative pricing	5
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	5
In memoriam: Mark H. A. Davis and his contributions to mathematical finance	5
Issue Information	5
	5
Optimal measure preserving derivatives revisited	4
Equilibrium price in intraday electricity markets	4
Optimal investment for retail investors	4
Long‐term risk with stochastic interest rates	4
Affine term structure models: A time‐change approach with perfect fit to market curves	4
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	4
Quantitative Fundamental Theorem of Asset Pricing	4
Local volatility under rough volatility	4
Measure‐valued processes for energy markets	4