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 2021-08-01 to 2025-08-01.)

Article	Citations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	46
Pricing electricity day-ahead cap futures with multifactor skew-t densities	33
A generalized Esscher transform for option valuation with regime switching risk	28
α -threshold networks in credit risk models	27
Optimal trading and competition with information in the price impact model	27
Price dynamics with circuit breakers	26
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	17
Special Issue on XXIV Workshop on Quantitative Finance	16
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
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	14
Multivariate systemic risk measures and computation by deep learning algorithms	14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	14
Cryptocurrency factor momentum	14
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
Pairs trading under delayed cointegration	14
Portfolio insurers and constant weight traders: who will survive?	13
Estimation risk and the implicit value of index-tracking	13
Decomposing LIBOR in transition: evidence from the futures markets	12
Persistence of jump-induced tail risk and limits to arbitrage	12
Can volatility solve the naive portfolio puzzle?	11
Short-dated smile under rough volatility: asymptotics and numerics	11
Kurtosis-based risk parity: methodology and portfolio effects	10

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

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
Supervised portfolios	5
On general semi-closed-form solutions for VIX derivative pricing	5
The role of fleeting orders on option expiration days	5
When do systematic strategies decay?	5
A Tour of C++, Third Edition	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Regime-switching affine term structures	5
Computing the SSR	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Drawdown beta and portfolio optimization	5
Deep calibration with random grids	5
The non-linear ESG premium	5
Optimal attention allocation: picking alpha or betting on beta?	5
A neuro-structural framework for bankruptcy prediction	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
Errata: Instantaneous Portfolio theory	5
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Option pricing under stochastic volatility models with latent volatility	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
A generalized heterogeneous autoregressive model using market information	4
The EWMA Heston model	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Merged LSTM-MLP for option valuation	4
Risk factor aggregation and stress testing	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Cheapest-to-deliver collateral: a common factor approach	4
Risk-free rate caplets pricing by CTMC approximation	4