OOIR: Observatory of International Research

Papers

(The TQCC of Mathematics and Financial Economics 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 2020-04-01 to 2024-04-01.)

Article	Citations
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean	34
Equilibrium effects of intraday order-splitting benchmarks	14
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process	13
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility	12
Risk management with expected shortfall	10
Multiple yield curve modelling with CBI processes	9
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model	9
Continuity of utility maximization under weak convergence	9
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization	8
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences	8
Systemic credit freezes in financial lending networks	7
An optimization model for minimizing systemic risk	6
Governmental incentives for green bonds investment	6
Price formation and optimal trading in intraday electricity markets	6
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity	6
Price impact equilibrium with transaction costs and TWAP trading	5
Capital allocation rules and acceptance sets	5
Mean-variance efficiency of optimal power and logarithmic utility portfolios	5
Compound Poisson models for weighted networks with applications in finance	4
A two-player portfolio tracking game	4
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model	4
Asymptotics for volatility derivatives in multi-factor rough volatility models	4
An integrated model for fire sales and default contagion	4
A financial market with singular drift and no arbitrage	4
Learning about latent dynamic trading demand $$^*$$	4

Safety-first portfolio selection	4
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction	4
Robust utility maximization under model uncertainty via a penalization approach	4