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 2021-09-01 to 2025-09-01.)
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 Volatility21
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information20
Optimal Trading with Signals and Stochastic Price Impact16
A Mean-Field Game of Market-Making against Strategic Traders16
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional15
Model-Free Analysis of Dynamic Trading Strategies15
Signature-Based Models: Theory and Calibration15
Shortfall Aversion on a Finite Horizon14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios13
Short Communication: Chances for the Honest in Honest versus Insider Trading13
Interest Rates Term Structure Models Driven by Hawkes Processes13
Short Communication: Is a Sophisticated Agent Always a Wise One?13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients13
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew12
On Robust Fundamental Theorems of Asset Pricing in Discrete Time12
Explicit Computations for Delayed Semistatic Hedging12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives11
Double-Execution Strategies Using Path Signatures11
On Bid and Ask Side-Specific Tick Sizes10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact9
Mortgage Contracts and Underwater Default9
Statistically Consistent Term Structures Have Affine Geometry9
A Mean Field Game between Informed Traders and a Broker9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity9
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework8
Constrained Monotone Mean-Variance Problem with Random Coefficients8
Optimal Loss Reporting in Continuous Time with Full Insurance8
Principal Eigenportfolios for U.S. Equities8
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets8
Competition in Fund Management and Forward Relative Performance Criteria8
Model Uncertainty: A Reverse Approach8
Suffocating Fire Sales8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms8
Relative Growth Rate Optimization Under Behavioral Criterion7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost7
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach6
Insiders and Their Free Lunches: The Role of Short Positions6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options6
Reconciling Rough Volatility with Jumps6
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