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 2021-11-01 to 2025-11-01.)

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	48
α -threshold networks in credit risk models	43
Price dynamics with circuit breakers	37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	31
Optimal trading and competition with information in the price impact model	30
A generalized Esscher transform for option valuation with regime switching risk	29
Trading TP ₂ option violations	20
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	19
Weak approximations and VIX option price expansions in forward variance curve models	17
A market resilient data-driven approach to option pricing	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	17
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	17
Pricing electricity day-ahead cap futures with multifactor skew-t densities	17
Special Issue on XXIV Workshop on Quantitative Finance	17
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	17
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Persistence of jump-induced tail risk and limits to arbitrage	16
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	16
Can volatility solve the naive portfolio puzzle?	15
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	15
How does liquidity shape the yield curve?	15
Multivariate systemic risk measures and computation by deep learning algorithms	14
Short-dated smile under rough volatility: asymptotics and numerics	14
Portfolio insurers and constant weight traders: who will survive?	13
Bid-ask bounds for option prices: the two-tail distortion model	13

Decomposing LIBOR in transition: evidence from the futures markets	13
Cryptocurrency factor momentum	12
Pairs trading under delayed cointegration	12
What is the value of the cross-sectional approach to deep reinforcement learning?	11
On the predictive power of food commodity futures prices in forecasting inflation	11
Estimation risk and the implicit value of index-tracking	11
The Black–Scholes equation in the presence of arbitrage	11
Short-maturity options on realized variance in local-stochastic volatility models	11
Greenwashing risk in asset pricing: the shift after the Paris agreement	11
Model-free analysis of real option exercise probability and timing	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Conditions for bubbles to arise under heterogeneous beliefs	10
Generation of synthetic financial time series by diffusion models	10
Explaining risks: axiomatic risk attributions for financial models	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
Spot beta estimation with asynchronous noisy prices	10
Valuation and hedging of cryptocurrency inverse options	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
Kurtosis-based risk parity: methodology and portfolio effects	10
The geometry of multi-curve interest rate models	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Optimal operation of a hydropower plant in a stochastic environment	9
Earnings mean reversion and dynamic optimal capital structure	8
The optimal payoff for a Yaari investor	8
SABR equipped with AI wings	8
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
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Distributionally robust end-to-end portfolio construction	8
Pricing commodity index options	7
On joint marginal expected shortfall and associated contribution risk measures	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
When to efficiently rebalance a portfolio	7
Rule-based trading on an order-driven exchange: a reassessment	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Some analytical results on bivariate stable distributions with an application in operational risk	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Asset prices when large investors interact strategically	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Crypto inverse-power options and fractional stochastic volatility	6
An Introduction to Machine Learning in Quantitative Finance	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
On general semi-closed-form solutions for VIX derivative pricing	6
When do systematic strategies decay?	6
Optimal attention allocation: picking alpha or betting on beta?	6

Cooperation between independent market makers	6
Book review	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Drawdown beta and portfolio optimization	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
GDP-linked bonds as a new asset class	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
Computing the SSR	6
The inelastic market hypothesis: a microstructural interpretation	6
Liquidity Coverage at Risk	6
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Regime-switching affine term structures	5
Portfolio and reinsurance optimization under unknown market price of risk	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
The role of fleeting orders on option expiration days	5
A neuro-structural framework for bankruptcy prediction	5
Risk-free rate caplets pricing by CTMC approximation	5
Deep calibration with random grids	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
A Tour of C++, Third Edition	5
Supervised portfolios	5
Errata: Instantaneous Portfolio theory	5
The non-linear ESG premium	5
Sparse portfolio selection via topological data analysis based clustering	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
The EWMA Heston model	4
Merged LSTM-MLP for option valuation	4
Group sparse enhanced indexation model with adaptive beta value	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
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	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
Realized skewness of oil price returns and the short-term predictability for exchange rate	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
Risk factor aggregation and stress testing	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Cheapest-to-deliver collateral: a common factor approach	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4