Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 14. 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.)
ArticleCitations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas46
Pricing electricity day-ahead cap futures with multifactor skew-t densities33
A generalized Esscher transform for option valuation with regime switching risk28
Optimal trading and competition with information in the price impact model27
α -threshold networks in credit risk models27
Price dynamics with circuit breakers26
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)17
Weak approximations and VIX option price expansions in forward variance curve models16
Special Issue on XXIV Workshop on Quantitative Finance16
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants15
A study on asset price bubble dynamics: explosive trend or quadratic variation?15
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems14
Pairs trading under delayed cointegration14
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality14
Multivariate systemic risk measures and computation by deep learning algorithms14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)14
Cryptocurrency factor momentum14
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