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 2021-06-01 to 2025-06-01.)

Article	Citations
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	43
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	40
Pricing electricity day-ahead cap futures with multifactor skew-t densities	40
A generalized Esscher transform for option valuation with regime switching risk	32
α -threshold networks in credit risk models	26
Price dynamics with circuit breakers	25
Special Issue on XXIV Workshop on Quantitative Finance	22
Optimal trading and competition with information in the price impact model	22
Weak approximations and VIX option price expansions in forward variance curve models	20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	20
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	15
An investigation of cryptocurrency data: the market that never sleeps	14
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Pairs trading under delayed cointegration	14
Optimal portfolio allocation and asset centrality revisited	13
Multivariate systemic risk measures and computation by deep learning algorithms	13
Estimation risk and the implicit value of index-tracking	13
Portfolio insurers and constant weight traders: who will survive?	13
Cryptocurrency factor momentum	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?	12

Bid-ask bounds for option prices: the two-tail distortion model	11
Short-dated smile under rough volatility: asymptotics and numerics	11
What is the value of the cross-sectional approach to deep reinforcement learning?	11
Sparse index clones via the sorted ℓ₁-Norm	10
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Valuation and hedging of cryptocurrency inverse options	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
The Black–Scholes equation in the presence of arbitrage	10
The impact of CoCo bonds on systemic risk considering liquidity risk	9
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	9
Conditions for bubbles to arise under heterogeneous beliefs	9
Model-free analysis of real option exercise probability and timing	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Spot beta estimation with asynchronous noisy prices	9
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	9
A deep learning approach to estimating fill probabilities in a limit order book	9
SABR equipped with AI wings	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Optimal operation of a hydropower plant in a stochastic environment	8
Estimating time-varying risk aversion from option prices and realized returns	8
The geometry of multi-curve interest rate models	8
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	8
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Distributionally robust end-to-end portfolio construction	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
Asset prices when large investors interact strategically	7
Cooperation between independent market makers	7
Earnings mean reversion and dynamic optimal capital structure	7
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
The optimal payoff for a Yaari investor	7
Tile test for back-testing risk evaluation	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
When to efficiently rebalance a portfolio	7
Pricing commodity index options	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
Myopic robust index tracking with Bregman divergence	6
Book review	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
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
An Introduction to Machine Learning in Quantitative Finance	6
GDP-linked bonds as a new asset class	6

Supervised portfolios	5
Computing the SSR	5
When do systematic strategies decay?	5
On general semi-closed-form solutions for VIX derivative pricing	5
A Tour of C++, Third Edition	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Optimal attention allocation: picking alpha or betting on beta?	5
The inelastic market hypothesis: a microstructural interpretation	5
Drawdown beta and portfolio optimization	5
Deep calibration with random grids	5
Callable barrier reverse convertible securities	5
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	5
Portfolio and reinsurance optimization under unknown market price of risk	5
The non-linear ESG premium	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Detecting bubbles via FDR and FNR based on calibrated p -values	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Cheapest-to-deliver collateral: a common factor approach	4
Risk factor aggregation and stress testing	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Regime-switching affine term structures	4
The role of fleeting orders on option expiration days	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
A generalized heterogeneous autoregressive model using market information	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Merged LSTM-MLP for option valuation	4
Are missing values important for earnings forecasts? A machine learning perspective	4
A neuro-structural framework for bankruptcy prediction	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
The EWMA Heston model	4
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	4
Option pricing under stochastic volatility models with latent volatility	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Errata: Instantaneous Portfolio theory	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Risk-free rate caplets pricing by CTMC approximation	4