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 2022-01-01 to 2026-01-01.)

Article	Citations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	30
A Mean-Field Game of Market-Making against Strategic Traders	25
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	24
Optimal Trading with Signals and Stochastic Price Impact	23
A Mathematical Framework for Modeling Order Book Dynamics	22
Model-Free Analysis of Dynamic Trading Strategies	19
Optimal Investment with Time-Varying Stochastic Endowments	19
Signature-Based Models: Theory and Calibration	17
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	17
Signature Methods in Stochastic Portfolio Theory	16
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	15
Short Communication: Is a Sophisticated Agent Always a Wise One?	14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	14
Short Communication: Chances for the Honest in Honest versus Insider Trading	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Double-Execution Strategies Using Path Signatures	13
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	13
Shortfall Aversion on a Finite Horizon	13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	13
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	12
On Bid and Ask Side-Specific Tick Sizes	12
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	11
Explicit Computations for Delayed Semistatic Hedging	11

Statistically Consistent Term Structures Have Affine Geometry	11
Constrained Monotone Mean-Variance Problem with Random Coefficients	10
A Mean Field Game between Informed Traders and a Broker	10
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	10
Mortgage Contracts and Underwater Default	10
Suffocating Fire Sales	10
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	10
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
Optimal Loss Reporting in Continuous Time with Full Insurance	9
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	9
Model Uncertainty: A Reverse Approach	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	8
Relative Growth Rate Optimization Under Behavioral Criterion	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	8
Competition in Fund Management and Forward Relative Performance Criteria	8
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	8
Insiders and Their Free Lunches: The Role of Short Positions	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	7
Principal Eigenportfolios for U.S. Equities	7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	7
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	7
Reconciling Rough Volatility with Jumps	6
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	6
Robust Risk-Aware Reinforcement Learning	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Utility Maximization in Multivariate Volterra Models	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Short Communication: Finding the Nonnegative Minimal Solutions of Cauchy PDEs in a Volatility-Stabilized Market	5
Short Communication: On the Separability of Vector-Valued Risk Measures	5
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs	5
Market Making with Exogenous Competition	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Robust Portfolio Choice with Sticky Wages	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case	4
Risk Measures beyond Frictionless Markets	4
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance	4
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	4
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility	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
Escrow and Clawback	4
The Dispersion Bias	4
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	4
On Conditioning and Consistency for Nonlinear Functionals	4
Pricing Bermudan Options Using Regression Trees/Random Forests	4

Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	4
Time-Inconsistent Mean Field and ${n}$-Agent Games under Relative Performance Criteria	4
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	3
Collective Free Lunch and the FTAP	3
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	3
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Functional Portfolio Optimization in Stochastic Portfolio Theory	3
Capital Growth and Survival Strategies in a Market with Endogenous Prices	3
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	3
Robustness of Delta Hedging in a Jump-Diffusion Model	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Robust Market Convergence: From Discrete to Continuous Time	3
Signature Volatility Models: Pricing and Hedging with Fourier	3
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	3
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	3
High Order Approximations and Simulation Schemes for the Log-Heston Process	3
Exploratory Control with Tsallis Entropy for Latent Factor Models	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2
Optimal Ratcheting of Dividends in a Brownian Risk Model	2
The Checkerboard Copula and Dependence Concepts	2
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
Order Book Queue Hawkes Markovian Modeling	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
Optimal Clearing Payments in a Financial Contagion Model	2
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices	2
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm	2
Explicit Option Pricing with Additive Processes	2
American Options in the Volterra Heston Model	2

Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	4
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria	4
Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy	3
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models	3
Collective Free Lunch and the FTAP	3
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	3
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	3
Short Communication: An Axiomatization of $\Lambda$-Quantiles	3
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks	3
Functional Portfolio Optimization in Stochastic Portfolio Theory	3
Capital Growth and Survival Strategies in a Market with Endogenous Prices	3
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals	3
Robustness of Delta Hedging in a Jump-Diffusion Model	3
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze	3
Robust Market Convergence: From Discrete to Continuous Time	3
Signature Volatility Models: Pricing and Hedging with Fourier	3
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models	3
Retirement Decision with Addictive Habit Persistence in a Jump Diffusion Market	3
High Order Approximations and Simulation Schemes for the Log-Heston Process	3
Exploratory Control with Tsallis Entropy for Latent Factor Models	2
Robust Control Problems of BSDEs Coupled with Value Functions	2
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2
Optimal Ratcheting of Dividends in a Brownian Risk Model	2
The Checkerboard Copula and Dependence Concepts	2
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals	2
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets	2
Order Book Queue Hawkes Markovian Modeling	2
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact	2
Optimal Clearing Payments in a Financial Contagion Model	2
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices	2
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost	2
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm	2
Explicit Option Pricing with Additive Processes	2
American Options in the Volterra Heston Model	2