OOIR: Observatory of International Research

Papers

(The median citation count of SIAM Journal on Financial Mathematics is 2. 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 2021-06-01 to 2025-06-01.)

Article	Citations
A Mathematical Framework for Modeling Order Book Dynamics	26
Optimal Investment with Time-Varying Stochastic Endowments	21
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	16
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	16
A Mean-Field Game of Market-Making against Strategic Traders	15
Shortfall Aversion on a Finite Horizon	14
Optimal Trading with Signals and Stochastic Price Impact	14
Signature-Based Models: Theory and Calibration	14
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	13
Interest Rates Term Structure Models Driven by Hawkes Processes	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	12
Explicit Computations for Delayed Semistatic Hedging	12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	12
Short Communication: Chances for the Honest in Honest versus Insider Trading	12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	10
Double-Execution Strategies Using Path Signatures	10
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
On Bid and Ask Side-Specific Tick Sizes	9
Statistically Consistent Term Structures Have Affine Geometry	9
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8

A Mean Field Game between Informed Traders and a Broker	8
Suffocating Fire Sales	8
Mortgage Contracts and Underwater Default	8
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	8
Constrained Monotone Mean-Variance Problem with Random Coefficients	8
Principal Eigenportfolios for U.S. Equities	7
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Model Uncertainty: A Reverse Approach	7
Optimal Loss Reporting in Continuous Time with Full Insurance	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Relative Growth Rate Optimization Under Behavioral Criterion	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	5
Insiders and Their Free Lunches: The Role of Short Positions	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Robust Risk-Aware Reinforcement Learning	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Reconciling Rough Volatility with Jumps	5
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	4
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Utility Maximization in Multivariate Volterra Models	4
Short Communication: On the Separability of Vector-Valued Risk Measures	4
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	4
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	4
Robust Portfolio Choice with Sticky Wages	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	4
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	3
Functional Portfolio Optimization in Stochastic Portfolio Theory	3
Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	3
Risk Measures beyond Frictionless Markets	3
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
Pricing Bermudan Options Using Regression Trees/Random Forests	3
Robust Market Convergence: From Discrete to Continuous Time	3
Collective Free Lunch and the FTAP	3
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Signature Volatility Models: Pricing and Hedging with Fourier	3
Escrow and Clawback	3
The Dispersion Bias	3

Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2