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

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	53
Price dynamics with circuit breakers	50
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	44
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	32
Trading TP ₂ option violations	30
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	22
α -threshold networks in credit risk models	21
A market resilient data-driven approach to option pricing	21
Special Issue on XXIV Workshop on Quantitative Finance	19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	19
Weak approximations and VIX option price expansions in forward variance curve models	19
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	18
Optimal trading and competition with information in the price impact model	18
A study on asset price bubble dynamics: explosive trend or quadratic variation?	18
Persistence of jump-induced tail risk and limits to arbitrage	17
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	17
Pairs trading under delayed cointegration	16
How does liquidity shape the yield curve?	16
Can volatility solve the naive portfolio puzzle?	16
Greenwashing risk in asset pricing: the shift after the Paris agreement	15
Short-maturity options on realized variance in local-stochastic volatility models	14
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	13
Multivariate systemic risk measures and computation by deep learning algorithms	13
The Black–Scholes equation in the presence of arbitrage	12

Cryptocurrency factor momentum	12
Consumption skewness, time deformation and the term structure	12
Bid-ask bounds for option prices: the two-tail distortion model	12
Decomposing LIBOR in transition: evidence from the futures markets	12
Model-free analysis of real option exercise probability and timing	11
Generation of synthetic financial time series by diffusion models	11
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	11
Spot beta estimation with asynchronous noisy prices	11
Kurtosis-based risk parity: methodology and portfolio effects	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
Valuation and hedging of cryptocurrency inverse options	11
Explaining risks: axiomatic risk attributions for financial models	11
Conditions for bubbles to arise under heterogeneous beliefs	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
On the predictive power of food commodity futures prices in forecasting inflation	10
The geometry of multi-curve interest rate models	9
Optimal operation of a hydropower plant in a stochastic environment	9
Estimating time-varying risk aversion from option prices and realized returns	8
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	8
Efficient option pricing in the rough Heston model using weak simulation schemes	8
The optimal payoff for a Yaari investor	8
SABR equipped with AI wings	8
Distributionally robust end-to-end portfolio construction	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Earnings mean reversion and dynamic optimal capital structure	8
Asset prices when large investors interact strategically	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Rule-based trading on an order-driven exchange: a reassessment	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Equity auction dynamics: latent liquidity models with activity acceleration	7
Some analytical results on bivariate stable distributions with an application in operational risk	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Crypto inverse-power options and fractional stochastic volatility	7
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
On joint marginal expected shortfall and associated contribution risk measures	7
When to efficiently rebalance a portfolio	7
Pricing commodity index options	7
Cooperation between independent market makers	7
Book review	7
Deep calibration with random grids	6
Computing the SSR	6
Optimal attention allocation: picking alpha or betting on beta?	6
The non-linear ESG premium	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
The inelastic market hypothesis: a microstructural interpretation	6

Detecting bubbles via FDR and FNR based on calibrated p -values	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
GDP-linked bonds as a new asset class	6
On general semi-closed-form solutions for VIX derivative pricing	6
A Tour of C++, Third Edition	5
Regime-switching affine term structures	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
When do systematic strategies decay?	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
A neuro-structural framework for bankruptcy prediction	5
The role of fleeting orders on option expiration days	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Drawdown beta and portfolio optimization	5
Liquidity Coverage at Risk	5
Supervised portfolios	5
Mind the gap in the mining game	5
Risk factor aggregation and stress testing	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
The EWMA Heston model	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
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	4
A generalized heterogeneous autoregressive model using market information	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Merged LSTM-MLP for option valuation	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Risk-free rate caplets pricing by CTMC approximation	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4