Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 15. 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 2021-09-01 to 2025-09-01.)
ArticleCitations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas47
α -threshold networks in credit risk models34
Price dynamics with circuit breakers33
Special Issue on XXIV Workshop on Quantitative Finance30
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants28
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)28
Optimal trading and competition with information in the price impact model17
Weak approximations and VIX option price expansions in forward variance curve models17
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics16
A study on asset price bubble dynamics: explosive trend or quadratic variation?16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality16
Trading TP 2 option violations16
A generalized Esscher transform for option valuation with regime switching risk15
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)15
Pricing electricity day-ahead cap futures with multifactor skew-t densities15
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