SIAM Journal on Financial Mathematics

Papers
(The TQCC of SIAM Journal on Financial Mathematics is 6. 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.)
ArticleCitations
A Mathematical Framework for Modeling Order Book Dynamics27
Optimal Investment with Time-Varying Stochastic Endowments22
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility20
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information18
A Mean-Field Game of Market-Making against Strategic Traders15
Model-Free Analysis of Dynamic Trading Strategies15
Optimal Trading with Signals and Stochastic Price Impact15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional14
Signature-Based Models: Theory and Calibration14
Shortfall Aversion on a Finite Horizon14
Short Communication: Is a Sophisticated Agent Always a Wise One?13
Interest Rates Term Structure Models Driven by Hawkes Processes13
Short Communication: Chances for the Honest in Honest versus Insider Trading13
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients12
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew12
Double-Execution Strategies Using Path Signatures11
Explicit Computations for Delayed Semistatic Hedging11
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives10
On Bid and Ask Side-Specific Tick Sizes10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity9
Constrained Monotone Mean-Variance Problem with Random Coefficients9
Mortgage Contracts and Underwater Default8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets8
Suffocating Fire Sales8
Statistically Consistent Term Structures Have Affine Geometry8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework8
Optimal Loss Reporting in Continuous Time with Full Insurance8
A Mean Field Game between Informed Traders and a Broker8
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms8
Relative Growth Rate Optimization Under Behavioral Criterion7
Model Uncertainty: A Reverse Approach7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader7
Principal Eigenportfolios for U.S. Equities7
Competition in Fund Management and Forward Relative Performance Criteria7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost6
Insiders and Their Free Lunches: The Role of Short Positions6
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