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 2021-11-01 to 2025-11-01.)
ArticleCitations
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information28
A Mean-Field Game of Market-Making against Strategic Traders24
Optimal Trading with Signals and Stochastic Price Impact23
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility21
Optimal Investment with Time-Varying Stochastic Endowments19
A Mathematical Framework for Modeling Order Book Dynamics18
Signature-Based Models: Theory and Calibration16
Model-Free Analysis of Dynamic Trading Strategies16
Shortfall Aversion on a Finite Horizon15
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional15
Short Communication: Chances for the Honest in Honest versus Insider Trading14
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time13
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients13
Short Communication: Is a Sophisticated Agent Always a Wise One?13
Signature Methods in Stochastic Portfolio Theory12
Double-Execution Strategies Using Path Signatures12
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives12
Interest Rates Term Structure Models Driven by Hawkes Processes12
On Bid and Ask Side-Specific Tick Sizes12
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity11
Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case10
Explicit Computations for Delayed Semistatic Hedging10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact10
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities10
Statistically Consistent Term Structures Have Affine Geometry10
Suffocating Fire Sales10
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets9
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework9
Mortgage Contracts and Underwater Default9
A Mean Field Game between Informed Traders and a Broker9
Constrained Monotone Mean-Variance Problem with Random Coefficients9
Model Uncertainty: A Reverse Approach8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time8
Optimal Loss Reporting in Continuous Time with Full Insurance8
Competition in Fund Management and Forward Relative Performance Criteria8
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms8
Gradient-Enhanced Sparse Hermite Polynomial Expansions for Pricing and Hedging High-Dimensional American Options8
Relative Growth Rate Optimization Under Behavioral Criterion7
Principal Eigenportfolios for U.S. Equities7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets7
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach7
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader7
Insiders and Their Free Lunches: The Role of Short Positions6
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems6
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks6
Reconciling Rough Volatility with Jumps6
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