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 2021-07-01 to 2025-07-01.)

Article	Citations
A Mathematical Framework for Modeling Order Book Dynamics	27
Optimal Investment with Time-Varying Stochastic Endowments	22
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility	19
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information	18
A Mean-Field Game of Market-Making against Strategic Traders	15
Signature-Based Models: Theory and Calibration	14
Shortfall Aversion on a Finite Horizon	14
Model-Free Analysis of Dynamic Trading Strategies	14
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional	14
Optimal Trading with Signals and Stochastic Price Impact	14
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	13
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	13
Short Communication: Is a Sophisticated Agent Always a Wise One?	13
Interest Rates Term Structure Models Driven by Hawkes Processes	13
On Robust Fundamental Theorems of Asset Pricing in Discrete Time	12
Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients	12
Short Communication: Chances for the Honest in Honest versus Insider Trading	12
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives	11
Explicit Computations for Delayed Semistatic Hedging	11
Double-Execution Strategies Using Path Signatures	10
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	9
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity	9
On Bid and Ask Side-Specific Tick Sizes	9
Statistically Consistent Term Structures Have Affine Geometry	9
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities	8

Constrained Monotone Mean-Variance Problem with Random Coefficients	8
Suffocating Fire Sales	8
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	8
A Mean Field Game between Informed Traders and a Broker	8
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets	8
Mortgage Contracts and Underwater Default	8
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time	7
Competition in Fund Management and Forward Relative Performance Criteria	7
Optimal Loss Reporting in Continuous Time with Full Insurance	7
Principal Eigenportfolios for U.S. Equities	7
Model Uncertainty: A Reverse Approach	7
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets	7
Multidimensional Kyle–Back Model with a Risk Averse Informed Trader	7
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms	7
Relative Growth Rate Optimization Under Behavioral Criterion	6
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost	6
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach	6
Insiders and Their Free Lunches: The Role of Short Positions	5
Market Making with Exogenous Competition	5
Option Pricing in Sandwiched Volterra Volatility Model	5
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems	5
Short Communication: On the Separability of Vector-Valued Risk Measures	5
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum	5
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility	5
Robust Risk-Aware Reinforcement Learning	5
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance	5
Reconciling Rough Volatility with Jumps	5