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 2021-08-01 to 2025-08-01.)

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	20
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	18
Optimal Trading with Signals and Stochastic Price Impact	15
A Mean-Field Game of Market-Making against Strategic Traders	15
Model-Free Analysis of Dynamic Trading Strategies	15
Signature-Based Models: Theory and Calibration	14
Shortfall Aversion on a Finite Horizon	14
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	14
Interest Rates Term Structure Models Driven by Hawkes Processes	13
Short Communication: Chances for the Honest in Honest versus Insider Trading	13
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	12
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	12
Double-Execution Strategies Using Path Signatures	11
Explicit Computations for Delayed Semistatic Hedging	11
On Bid and Ask Side-Specific Tick Sizes	10
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	10
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
A Mean Field Game between Informed Traders and a Broker	8

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
Mortgage Contracts and Underwater Default	8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Suffocating Fire Sales	8
Statistically Consistent Term Structures Have Affine Geometry	8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8
Optimal Loss Reporting in Continuous Time with Full Insurance	8
Principal Eigenportfolios for U.S. Equities	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Relative Growth Rate Optimization Under Behavioral Criterion	7
Model Uncertainty: A Reverse Approach	7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	7
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Insiders and Their Free Lunches: The Role of Short Positions	6
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	6
Robust Risk-Aware Reinforcement Learning	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
Reconciling Rough Volatility with Jumps	5
Robust Portfolio Choice with Sticky Wages	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
Pricing Bermudan Options Using Regression Trees/Random Forests	4
Utility Maximization in Multivariate Volterra Models	4
Risk Measures beyond Frictionless Markets	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
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals	4
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	3
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	3
On Conditioning and Consistency for Nonlinear Functionals	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
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	3
The Dispersion Bias	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Robust Market Convergence: From Discrete to Continuous Time	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	3
Escrow and Clawback	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
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Collective Free Lunch and the FTAP	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	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
Signature Volatility Models: Pricing and Hedging with Fourier	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	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
Robustness of Delta Hedging in a Jump-Diffusion Model	2
Collective Free Lunch and the FTAP	2
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	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
Signature Volatility Models: Pricing and Hedging with Fourier	2
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	2
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2