OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative Finance is 3. 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 2021-04-01 to 2025-04-01.)

Article	Citations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	66
A Tour of C++, Third Edition	37
NN de-Americanization: an efficient method to facilitate calibration of American-style options	37
Equal risk pricing and hedging of financial derivatives with convex risk measures	36
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	26
A simple robust asset pricing model under statistical ambiguity	24
Book review	23
Classification of flash crashes using the Hawkes(p,q)framework	21
Price dynamics with circuit breakers	19
Regime-switching affine term structures	18
Weak approximations and VIX option price expansions in forward variance curve models	18
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	17
Model-based approach for scenario design: stress test severity and banks' resiliency	16
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	13
Market Microstructure in Practice	13
CMS spread options	13
Errata: Instantaneous Portfolio theory	13
A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects	12
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	12
Bitcoin, currencies, and fragility	11
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	11
Supervised portfolios	11
The role of fleeting orders on option expiration days	11
Liquidity fluctuations and the latent dynamics of price impact	11
Special Issue on XXIV Workshop on Quantitative Finance	10

Portfolio optimization with a prescribed terminal wealth distribution	10
Portfolio and reinsurance optimization under unknown market price of risk	10
A neuro-structural framework for bankruptcy prediction	10
Quantum Machine Learning and Optimisation in Finance	10
Deep impulse control: application to interest rate intervention	9
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	9
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency	9
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	9
Optimal reinsurance under a new design: two layers and multiple reinsurers	9
A generalized Esscher transform for option valuation with regime switching risk	9
Optimal trading and competition with information in the price impact model	9
On an irreversible investment problem with two-factor uncertainty	8
A transform-based method for pricing Asian options under general two-dimensional models	8
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	8
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	8
Optimal asset allocation for outperforming a stochastic benchmark target	8
Pricing electricity day-ahead cap futures with multifactor skew-t densities	8
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	8
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	8
Risk conscious investment	7
Consistent curves in the -world: optimal bonds portfolio	7
The reinforcement learning Kelly strategy	7
A study on asset price bubble dynamics: explosive trend or quadratic variation?	7
Forecasting the equity premium: can machine learning beat the historical average?	7
Counting jumps: does the counting process count?	7
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	7
Effective stochastic local volatility models	7
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	7
Islamic Banking and Finance, Second Edition	7
α -threshold networks in credit risk models	6
Multivariate quadratic Hawkes processes—part I: theoretical analysis	6
The EWMA Heston model	6
Risk sharing with deep neural networks	6
A new representation of the risk-neutral distribution and its applications	6
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks	6
Can volatility solve the naive portfolio puzzle?	6
Persistence of jump-induced tail risk and limits to arbitrage	6
Optimal stop-loss rules in markets with long-range dependence	6
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	6
Forecasting crude oil prices: do technical indicators need economic constraints?	6
Short-dated smile under rough volatility: asymptotics and numerics	6
Causal Factor Investing	6
Bayesian estimation of electricity price risk with a multi-factor mixture of densities	5
Lost in the LIBOR transition	5
Risk measures based on weak optimal transport	5
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis	5
In memoriam Peter Carr	5
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	5
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	5
Market making with inventory control and order book information	5

A semi-parametric dynamic conditional correlation framework for risk forecasting	5
Decomposing LIBOR in transition: evidence from the futures markets	5
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	5
A note on spurious model selection	5
Portfolio insurers and constant weight traders: who will survive?	5
Optimal liquidation under indirect price impact with propagator	4
Risk factor aggregation and stress testing	4
Algorithmic trading of real-time electricity with machine learning	4
Optimal portfolio allocation and asset centrality revisited	4
Virtual Barrels: Quantitative Trading in the Oil Market	4
What is the value of the cross-sectional approach to deep reinforcement learning?	4
Deep Learning: Foundations and Concepts	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Bid-ask bounds for option prices: the two-tail distortion model	4
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models	4
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	4
A generalized heterogeneous autoregressive model using market information	4
Robust control in a rough environment	4
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	4
Smiles in delta	4
Estimation risk and the implicit value of index-tracking	4
Ensemble learning for portfolio valuation and risk management	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	4
An investigation of cryptocurrency data: the market that never sleeps	4
High-dimensional macroeconomic stress testing of corporate recovery rate	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	4
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	4
Multiperiod interval-based stochastic dominance with application to dynamic portfolios	4
The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers	3
Risk-free rate caplets pricing by CTMC approximation	3
An adaptive dynamical model of default contagion	3
Hedging error as generalized timing risk	3
Tempered stable processes with time-varying exponential tails	3
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	3
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	3
Horizon effect on optimal retirement decision	3
In memoriam Marco Avellaneda	3
Pairs trading under delayed cointegration	3
Implied roughness in the term structure of oil market volatility	3
Multivariate systemic risk measures and computation by deep learning algorithms	3
Dynamic quantile function models	3
Valuing real options with endogenous payoff	3
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	3
Optimal hedging with variational preferences under convex risk measures	3
The Black–Scholes equation in the presence of arbitrage	3
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	3
Media trading groups and short selling manipulation	3
Semi-parametric financial risk forecasting incorporating multiple realized measures	3
Cryptocurrency factor momentum	3
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	3
Are missing values important for earnings forecasts? A machine learning perspective	3
Hedging cryptos with Bitcoin futures	3
Dynamic core-satellite investing using higher order moments: an explicit solution	3
The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative	3