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 2021-09-01 to 2025-09-01.)

Article	Citations
A Mathematical Framework for Modeling Order Book Dynamics	27
Optimal Investment with Time-Varying Stochastic Endowments	22
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	20
Optimal Trading with Signals and Stochastic Price Impact	16
A Mean-Field Game of Market-Making against Strategic Traders	16
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
Model-Free Analysis of Dynamic Trading Strategies	15
Signature-Based Models: Theory and Calibration	15
Shortfall Aversion on a Finite Horizon	14
Short Communication: Chances for the Honest in Honest versus Insider Trading	13
Interest Rates Term Structure Models Driven by Hawkes Processes	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	13
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	12
Explicit Computations for Delayed Semistatic Hedging	12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	12
Double-Execution Strategies Using Path Signatures	11
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
On Bid and Ask Side-Specific Tick Sizes	10
Statistically Consistent Term Structures Have Affine Geometry	9
A Mean Field Game between Informed Traders and a Broker	9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	9

Mortgage Contracts and Underwater Default	9
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8
Constrained Monotone Mean-Variance Problem with Random Coefficients	8
Optimal Loss Reporting in Continuous Time with Full Insurance	8
Principal Eigenportfolios for U.S. Equities	8
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Competition in Fund Management and Forward Relative Performance Criteria	8
Model Uncertainty: A Reverse Approach	8
Suffocating Fire Sales	8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	8
Relative Growth Rate Optimization Under Behavioral Criterion	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Insiders and Their Free Lunches: The Role of Short Positions	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Reconciling Rough Volatility with Jumps	6
Robust Portfolio Choice with Sticky Wages	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Robust Risk-Aware Reinforcement Learning	5
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions	5
Short Communication: On the Separability of Vector-Valued Risk Measures	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	5
Market Making with Exogenous Competition	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
Risk Measures beyond Frictionless Markets	4
Utility Maximization in Multivariate Volterra Models	4
On Conditioning and Consistency for Nonlinear Functionals	4
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model	4
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	4
The Dispersion Bias	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
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
Escrow and Clawback	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
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3

Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
High Order Approximations and Simulation Schemes for the Log-Heston Process	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Signature Volatility Models: Pricing and Hedging with Fourier	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2

Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
High Order Approximations and Simulation Schemes for the Log-Heston Process	2
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Signature Volatility Models: Pricing and Hedging with Fourier	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	2