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 2020-04-01 to 2024-04-01.)

Article	Citations
Continuous‐time mean–variance portfolio selection: A reinforcement learning framework	56
Network valuation in financial systems	55
Distress and default contagion in financial networks	32
Equilibrium concepts for time‐inconsistent stopping problems in continuous time	21
Recent advances in reinforcement learning in finance	20
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	20
Mean–field moral hazard for optimal energy demand response management	19
The Alpha‐Heston stochastic volatility model	17
Optimal make–take fees for market making regulation	17
Self‐similarity in long‐horizon returns	17
Sharing the value‐at‐risk under distributional ambiguity	16
Risk functionals with convex level sets	15
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach	15
Small‐time, large‐time, and asymptotics for the Rough Heston model	14
Lifetime investment and consumption with recursive preferences and small transaction costs	13
Asset pricing with general transaction costs: Theory and numerics	13
Risk‐sensitive benchmarked asset management with expert forecasts	12
Algorithmic market making in dealer markets with hedging and market impact	12
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets	11
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion	11
Size matters for OTC market makers: General results and dimensionality reduction techniques	10
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach	10
Bayes risk, elicitability, and the Expected Shortfall	10
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	8
Asset pricing with heterogeneous beliefs and illiquidity	8

Weak transport for non‐convex costs and model‐independence in a fixed‐income market	8
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion	7
A term structure model for dividends and interest rates	7
Penalty method for portfolio selection with capital gains tax	7
Liquidity in competitive dealer markets	7
Portfolio liquidation games with self‐exciting order flow	6
Robust risk aggregation with neural networks	6
Interbank lending with benchmark rates: Pareto optima for a class of singular control games	6
Model risk in credit risk	6
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets	6
Double continuation regions for American options under Poisson exercise opportunities	5
Trading with the crowd	5
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems	5
Consistent investment of sophisticated rank‐dependent utility agents in continuous time	5
Calibration of local‐stochastic volatility models by optimal transport	5
Intra‐Horizon expected shortfall and risk structure in models with jumps	5
Markov chains under nonlinear expectation	5
Crypto quanto and inverse options	5
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	5
An elementary approach to the Merton problem	5
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs	5
On utility maximization under model uncertainty in discrete‐time markets	4
Generalized statistical arbitrage concepts and related gain strategies	4
The American put with finite‐time maturity and stochastic interest rate	4
When does portfolio compression reduce systemic risk?	4
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps	4
Open markets	4
A martingale representation theorem and valuation of defaultable securities	4
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes	4