OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative 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 2021-07-01 to 2025-07-01.)

Article	Citations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	45
Pricing electricity day-ahead cap futures with multifactor skew-t densities	42
A generalized Esscher transform for option valuation with regime switching risk	32
Optimal trading and competition with information in the price impact model	27
Price dynamics with circuit breakers	26
α -threshold networks in credit risk models	26
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	23
Special Issue on XXIV Workshop on Quantitative Finance	22
Weak approximations and VIX option price expansions in forward variance curve models	16
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	15
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 dynamics	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Multivariate systemic risk measures and computation by deep learning algorithms	14
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	14
What is the value of the cross-sectional approach to deep reinforcement learning?	14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	14
Pairs trading under delayed cointegration	14
Estimation risk and the implicit value of index-tracking	13
Cryptocurrency factor momentum	13
Decomposing LIBOR in transition: evidence from the futures markets	12
Optimal portfolio allocation and asset centrality revisited	12
Persistence of jump-induced tail risk and limits to arbitrage	12
Portfolio insurers and constant weight traders: who will survive?	12
Can volatility solve the naive portfolio puzzle?	11

Spot beta estimation with asynchronous noisy prices	10
Bid-ask bounds for option prices: the two-tail distortion model	10
Sparse index clones via the sorted ℓ₁-Norm	10
The Black–Scholes equation in the presence of arbitrage	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
Model-free analysis of real option exercise probability and timing	10
The impact of CoCo bonds on systemic risk considering liquidity risk	10
Short-dated smile under rough volatility: asymptotics and numerics	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
Valuation and hedging of cryptocurrency inverse options	9
Optimal operation of a hydropower plant in a stochastic environment	9
Kurtosis-based risk parity: methodology and portfolio effects	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
Explaining risks: axiomatic risk attributions for financial models	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Conditions for bubbles to arise under heterogeneous beliefs	9
Estimating time-varying risk aversion from option prices and realized returns	8
Earnings mean reversion and dynamic optimal capital structure	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Distributionally robust end-to-end portfolio construction	8
SABR equipped with AI wings	8
The optimal payoff for a Yaari investor	8
The geometry of multi-curve interest rate models	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Asset prices when large investors interact strategically	7
Tile test for back-testing risk evaluation	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
On joint marginal expected shortfall and associated contribution risk measures	7
A deep learning approach to estimating fill probabilities in a limit order book	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Bond market completeness under stochastic strings with distribution-valued strategies	6
The inelastic market hypothesis: a microstructural interpretation	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
Rule-based trading on an order-driven exchange: a reassessment	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Liquidity Coverage at Risk	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
Some analytical results on bivariate stable distributions with an application in operational risk	6
Book review	6
An Introduction to Machine Learning in Quantitative Finance	6
GDP-linked bonds as a new asset class	6
When to efficiently rebalance a portfolio	6
Pricing commodity index options	6
Cooperation between independent market makers	6
Drawdown beta and portfolio optimization	5

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Optimal attention allocation: picking alpha or betting on beta?	5
When do systematic strategies decay?	5
A Tour of C++, Third Edition	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Deep calibration with random grids	5
On general semi-closed-form solutions for VIX derivative pricing	5
Computing the SSR	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
The non-linear ESG premium	5
Detecting bubbles via FDR and FNR based on calibrated p -values	5
Myopic robust index tracking with Bregman divergence	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Option pricing under stochastic volatility models with latent volatility	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Errata: Instantaneous Portfolio theory	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
The EWMA Heston model	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Risk factor aggregation and stress testing	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Supervised portfolios	4
Regime-switching affine term structures	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
A generalized heterogeneous autoregressive model using market information	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Cheapest-to-deliver collateral: a common factor approach	4
The role of fleeting orders on option expiration days	4
A neuro-structural framework for bankruptcy prediction	4
Risk-free rate caplets pricing by CTMC approximation	4
Merged LSTM-MLP for option valuation	4