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 2022-05-01 to 2026-05-01.)

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	73
Price dynamics with circuit breakers	56
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	48
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	36
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	33
A market resilient data-driven approach to option pricing	28
α -threshold networks in credit risk models	27
Special Issue on XXIV Workshop on Quantitative Finance	24
Optimal trading and competition with information in the price impact model	21
Weak approximations and VIX option price expansions in forward variance curve models	21
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	20
Trading TP ₂ option violations	20
Analytical approximations for American option pricing under regime-switching models	19
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Persistence of jump-induced tail risk and limits to arbitrage	18
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	18
Can volatility solve the naive portfolio puzzle?	18
How does liquidity shape the yield curve?	17
Pairs trading with stock borrowing fee	16
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	15
Pairs trading under delayed cointegration	15
A structured PDE framework for pricing resettable convertible bonds	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Short-maturity options on realized variance in local-stochastic volatility models	14

Decomposing LIBOR in transition: evidence from the futures markets	14
Greenwashing risk in asset pricing: the shift after the Paris agreement	13
Consumption skewness, time deformation and the term structure	13
On the predictive power of food commodity futures prices in forecasting inflation	12
Generation of synthetic financial time series by diffusion models	12
Multivariate systemic risk measures and computation by deep learning algorithms	12
Explaining risks: axiomatic risk attributions for financial models	12
Valuation and hedging of cryptocurrency inverse options	12
Bid-ask bounds for option prices: the two-tail distortion model	12
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	12
Model-free analysis of real option exercise probability and timing	12
Cryptocurrency factor momentum	12
Analytical solution for Kelly's criterion for multiple outcomes	12
Kurtosis-based risk parity: methodology and portfolio effects	11
The Black–Scholes equation in the presence of arbitrage	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
Optimal operation of a hydropower plant in a stochastic environment	11
Spot beta estimation with asynchronous noisy prices	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	11
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework	10
Estimating time-varying risk aversion from option prices and realized returns	10
Dimensionality reduction techniques to support insider trading detection	10
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	9
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	9
SABR equipped with AI wings	9
Earnings mean reversion and dynamic optimal capital structure	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
The geometry of multi-curve interest rate models	8
Revisiting the bond premium puzzle: a robustness approach	8
Distributionally robust end-to-end portfolio construction	8
The optimal payoff for a Yaari investor	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Pricing commodity index options	7
Asset prices when large investors interact strategically	7
Rule-based trading on an order-driven exchange: a reassessment	7
Cooperation between independent market makers	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Crypto inverse-power options and fractional stochastic volatility	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
When to efficiently rebalance a portfolio	7
Detecting toxic flow	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Mind the gap in the mining game	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Book review	6

GDP-linked bonds as a new asset class	6
Deep calibration with random grids	6
The non-linear ESG premium	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
On joint marginal expected shortfall and associated contribution risk measures	6
On general semi-closed-form solutions for VIX derivative pricing	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Liquidity Coverage at Risk	6
A neuro-structural framework for bankruptcy prediction	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Computing the SSR	5
The inelastic market hypothesis: a microstructural interpretation	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Optimal attention allocation: picking alpha or betting on beta?	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Regime-switching affine term structures	5
The role of fleeting orders on option expiration days	5
When do systematic strategies decay?	5
A Tour of C++, Third Edition	5
FX Open Forward	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Supervised portfolios	4
A generalized heterogeneous autoregressive model using market information	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Numerical perspectives on the rebalancing premium	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Risk factor aggregation and stress testing	4
The EWMA Heston model	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
Revisiting elastic string models of forward interest rates	4
Forward-looking physical tail risk: a deep learning approach	4
Option pricing under stochastic volatility models with latent volatility	4
Group sparse enhanced indexation model with adaptive beta value	4
Risk-free rate caplets pricing by CTMC approximation	4
Sparse portfolio selection via topological data analysis based clustering	4
Merged LSTM-MLP for option valuation	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