OOIR: Observatory of International Research

Papers

(The TQCC of SIAM Journal on Financial Mathematics is 7. 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
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	17
Signature-Based Models: Theory and Calibration	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
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
Model Uncertainty: A Reverse Approach	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	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