Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 13. 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.)
ArticleCitations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)66
A Tour of C++, Third Edition37
NN de-Americanization: an efficient method to facilitate calibration of American-style options37
Equal risk pricing and hedging of financial derivatives with convex risk measures36
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?26
A simple robust asset pricing model under statistical ambiguity24
Book review23
Classification of flash crashes using the Hawkes(p,q)framework21
Price dynamics with circuit breakers19
Regime-switching affine term structures18
Weak approximations and VIX option price expansions in forward variance curve models18
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach17
Model-based approach for scenario design: stress test severity and banks' resiliency16
Market Microstructure in Practice13
CMS spread options13
Errata: Instantaneous Portfolio theory13
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth13
0.85007119178772