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 2022-06-01 to 2026-06-01.)

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	75
Price dynamics with circuit breakers	56
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	49
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	36
A market resilient data-driven approach to option pricing	28
α -threshold networks in credit risk models	27
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	24
A study on asset price bubble dynamics: explosive trend or quadratic variation?	22
Special Issue on XXIV Workshop on Quantitative Finance	21
Weak approximations and VIX option price expansions in forward variance curve models	20
Optimal trading and competition with information in the price impact model	19
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	18
Analytical approximations for American option pricing under regime-switching models	18
Trading TP ₂ option violations	18
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	17
Persistence of jump-induced tail risk and limits to arbitrage	16
How does liquidity shape the yield curve?	15
Can volatility solve the naive portfolio puzzle?	15
Pairs trading with stock borrowing fee	15
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Greenwashing risk in asset pricing: the shift after the Paris agreement	14
Short-maturity options on realized variance in local-stochastic volatility models	14
Decomposing LIBOR in transition: evidence from the futures markets	13

Cryptocurrency factor momentum	13
Consumption skewness, time deformation and the term structure	13
Multivariate systemic risk measures and computation by deep learning algorithms	12
Valuation and hedging of cryptocurrency inverse options	12
Bid-ask bounds for option prices: the two-tail distortion model	12
A structured PDE framework for pricing resettable convertible bonds	12
Analytical solution for Kelly's criterion for multiple outcomes	12
Generation of synthetic financial time series by diffusion models	12
Spot beta estimation with asynchronous noisy prices	11
Model-free analysis of real option exercise probability and timing	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	11
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	11
Kurtosis-based risk parity: methodology and portfolio effects	11
Explaining risks: axiomatic risk attributions for financial models	11
On the predictive power of food commodity futures prices in forecasting inflation	10
Estimating time-varying risk aversion from option prices and realized returns	10
The Black–Scholes equation in the presence of arbitrage	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
Dimensionality reduction techniques to support insider trading detection	9
Revisiting the bond premium puzzle: a robustness approach	8
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework	8
Earnings mean reversion and dynamic optimal capital structure	8
SABR equipped with AI wings	8
The geometry of multi-curve interest rate models	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Optimal operation of a hydropower plant in a stochastic environment	7
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	7
A deep learning approach to estimating fill probabilities in a limit order book	7
When to efficiently rebalance a portfolio	7
Distributionally robust end-to-end portfolio construction	7
The optimal payoff for a Yaari investor	7
Asset prices when large investors interact strategically	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	7
Cooperation between independent market makers	7
Crypto inverse-power options and fractional stochastic volatility	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
On joint marginal expected shortfall and associated contribution risk measures	6
Equity auction dynamics: latent liquidity models with activity acceleration	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
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
Rule-based trading on an order-driven exchange: a reassessment	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Optimal attention allocation: picking alpha or betting on beta?	6
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Detecting toxic flow	6

GDP-linked bonds as a new asset class	6
Book review	6
Regime-switching affine term structures	5
When do systematic strategies decay?	5
Mind the gap in the mining game	5
Deep calibration with random grids	5
A Tour of C++, Third Edition	5
A neuro-structural framework for bankruptcy prediction	5
On general semi-closed-form solutions for VIX derivative pricing	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
The non-linear ESG premium	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Liquidity Coverage at Risk	5
Computing the SSR	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
The role of fleeting orders on option expiration days	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Supervised portfolios	4
Risk-free rate caplets pricing by CTMC approximation	4
Risk factor aggregation and stress testing	4
Group sparse enhanced indexation model with adaptive beta value	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Option pricing under stochastic volatility models with latent volatility	4
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
The EWMA Heston model	4
Merged LSTM-MLP for option valuation	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
Numerical perspectives on the rebalancing premium	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
A generalized heterogeneous autoregressive model using market information	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Sparse portfolio selection via topological data analysis based clustering	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Forward-looking physical tail risk: a deep learning approach	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4