SIAM Journal on Financial Mathematics

Papers
(The H4-Index of SIAM Journal on Financial Mathematics is 14. 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 2022-06-01 to 2026-06-01.)
ArticleCitations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility30
A Mathematical Framework for Modeling Order Book Dynamics27
Optimal Investment with Time-Varying Stochastic Endowments27
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information23
Optimal Trading with Signals and Stochastic Price Impact20
A Mean-Field Game of Market-Making against Strategic Traders18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates17
Model-Free Analysis of Dynamic Trading Strategies17
Signature-Based Models: Theory and Calibration15
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional15
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time15
Short Communication: Is a Sophisticated Agent Always a Wise One?14
Signature Methods in Stochastic Portfolio Theory14
Interest Rates Term Structure Models Driven by Hawkes Processes14
Shortfall Aversion on a Finite Horizon14
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