OOIR: Observatory of International Research

Papers

(The TQCC of SIAM Journal on Financial Mathematics is 5. 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 2022-06-01 to 2026-06-01.)

Article	Citations
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	30
A Mathematical Framework for Modeling Order Book Dynamics	27
Optimal Investment with Time-Varying Stochastic Endowments	27
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	23
Optimal Trading with Signals and Stochastic Price Impact	20
A Mean-Field Game of Market-Making against Strategic Traders	18
Cross-Currency Basis Swaps Referencing Backward-Looking Rates	17
Model-Free Analysis of Dynamic Trading Strategies	17
Signature-Based Models: Theory and Calibration	15
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	15
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	15
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	15
Short Communication: Is a Sophisticated Agent Always a Wise One?	14
Signature Methods in Stochastic Portfolio Theory	14
Interest Rates Term Structure Models Driven by Hawkes Processes	14
Shortfall Aversion on a Finite Horizon	14
On Bid and Ask Side-Specific Tick Sizes	11
Price Impact and Long-Term Profitability of Energy Storage	11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case	11
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
Double-Execution Strategies Using Path Signatures	10
Explicit Computations for Delayed Semistatic Hedging	10
Statistically Consistent Term Structures Have Affine Geometry	10
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	10

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	10
Constrained Monotone Mean-Variance Problem with Random Coefficients	9
Mortgage Contracts and Underwater Default	9
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	9
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	9
Optimal Loss Reporting in Continuous Time with Full Insurance	8
A Mean Field Game between Informed Traders and a Broker	8
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces	8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	8
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models	8
Competition in Fund Management and Forward Relative Performance Criteria	7
Computing Systemic Risk Measures with Graph Neural Networks	6
Model Uncertainty: A Reverse Approach	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	6
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options	6
Relative Growth Rate Optimization Under Behavioral Criterion	6
Wasserstein Ergodicity of a Chen-Type Model with Correlated Noise	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Principal Eigenportfolios for U.S. Equities	6
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	5
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Reconciling Rough Volatility with Jumps	5
Collateralized Networks with Two Interacting Channels of Fire Sales	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Insiders and Their Free Lunches: The Role of Short Positions	5
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks	5
Market Making with Exogenous Competition	5