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 2021-08-01 to 2025-08-01.)

Article	Citations
Hedging of Fixing Exposure	93
Issue Information	39
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	25
Optimal investment for retail investors	23
Long‐term risk with stochastic interest rates	19
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions	18
	16
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules	15
Joint calibration to SPX and VIX options with signature‐based models	14
Do investors gain by selling the tails of return distributions?	14
A Leland model for delta hedging in central risk books	13
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
Risk concentration and the mean‐expected shortfall criterion	11
Learning equilibrium mean‐variance strategy	11
Issue Information	10
Spanning Multi‐Asset Payoffs With ReLUs	10
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	10
	9
Mean–variance hedging of contingent claims with random maturity	9
Issue Information	9
Trading under the proof‐of‐stake protocol – A continuous‐time control approach	9
When does portfolio compression reduce systemic risk?	9
Issue Information	8

Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	8
Issue Information	8
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?	7
Algorithmic market making in dealer markets with hedging and market impact	7
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	7
Deep empirical risk minimization in finance: Looking into the future	6
Noncausal affine processes with applications to derivative pricing	6
Expected median of a shifted Brownian motion: Theory and calculations	6
Optimal investment with correlated stochastic volatility factors	5
Preference robust distortion risk measure and its application	5
Improving reinforcement learning algorithms: Towards optimal learning rate policies	5
Optimal dividend payout under stochastic discounting	5
Optimal Liquidation With Signals: The General Propagator Case	5
Clustering heterogeneous financial networks	5
Polar Coordinates for the 3/2 Stochastic Volatility Model	5
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	5
Issue Information	5
Special issue on machine learning in finance	5