OOIR: Observatory of International Research

Papers

(The median citation count of SIAM Journal on Financial Mathematics is 1. 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 2021-04-01 to 2025-04-01.)

Article	Citations
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	22
A Mathematical Framework for Modeling Order Book Dynamics	16
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions	16
Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization	15
Contingent Convertible Obligations and Financial Stability	13
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	13
Escrow and Clawback	12
Optimal Investment with Time-Varying Stochastic Endowments	12
Relative Growth Rate Optimization Under Behavioral Criterion	12
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	12
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	12
The Dispersion Bias	10
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	10
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	9
A Mean-Field Game of Market-Making against Strategic Traders	9
Erratum: The Robust Superreplication Problem: A Dynamic Approach	9
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	8
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	8
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	8
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	7
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	7
Robust Control Problems of BSDEs Coupled with Value Functions	7
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems	7
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	7
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models	7

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	7
Optimal Trading with Signals and Stochastic Price Impact	7
Endogenous Noise Trackers in a Radner Equilibrium	6
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	6
Insiders and Their Free Lunches: The Role of Short Positions	6
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	6
Principal Eigenportfolios for U.S. Equities	6
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems	6
Pricing Options under Rough Volatility with Backward SPDEs	6
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	5
A Multi-agent Targeted Trading Equilibrium with Transaction Costs	4
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics	4
Mild to Classical Solutions for XVA Equations under Stochastic Volatility	4
Short Communication: Utility-Based Acceptability Indices	4
Optimal Dividends Under Model Uncertainty	4
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	4
Optimal Ratcheting of Dividends in a Brownian Risk Model	3
Portfolio Optimization within a Wasserstein Ball	3
Signature-Based Models: Theory and Calibration	3
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	3
Reconciling Rough Volatility with Jumps	3
Order Book Queue Hawkes Markovian Modeling	3
Mean-Variance Portfolio Selection in Contagious Markets	3
Weak Error Rates of Numerical Schemes for Rough Volatility	3
Short Communication: Is a Sophisticated Agent Always a Wise One?	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Short Communication: Chances for the Honest in Honest versus Insider Trading	3
Short Communication: A Primer on Perpetuals	3
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	2
Realization Utility with Path-Dependent Reference Points	2
Short Communication: Projection of Functionals and Fast Pricing of Exotic Options	2
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	2
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis	2
Robust Portfolio Selection under Recovery Average Value at Risk	2
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	2
Short Communication: A Note on Robust Risk-Sharing with Convex Risk Measures	2
Interest Rates Term Structure Models Driven by Hawkes Processes	2
Robust Risk-Aware Reinforcement Learning	2
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices	2
Reward Design in Risk-Taking Contests	2
Functional Portfolio Optimization in Stochastic Portfolio Theory	2
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	2
Short Communication: The Price of Information	2
Option Pricing in Sandwiched Volterra Volatility Model	2
Exploratory Control with Tsallis Entropy for Latent Factor Models	2
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	2

Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	1
Short Communication: On the Separability of Vector-Valued Risk Measures	1
Collective Free Lunch and the FTAP	1
Gaussian Volterra Processes as Models of Electricity Markets	1
Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision	1
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients	1
Optimal Cross-Border Electricity Trading	1
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	1
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	1
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats	1
Explicit Computations for Delayed Semistatic Hedging	1
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	1
Merton's Optimal Investment Problem with Jump Signals	1
Robust Portfolio Choice with Sticky Wages	1
Optimal Stopping for Exponential Lévy Models with Weighted Discounting	1
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	1
Optimal Clearing Payments in a Financial Contagion Model	1
A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints	1
Performance Fees with Stochastic Benchmark	1
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model	1
Deep Signature Algorithm for Multidimensional Path-Dependent Options	1
A Mean Field Game Approach to Bitcoin Mining	1
On Bid and Ask Side-Specific Tick Sizes	1
Double-Execution Strategies Using Path Signatures	1
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium	1
American Options in the Volterra Heston Model	1
On the Discrete-Time Simulation of the Rough Heston Model	1
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix	1