Most cited papers in Stochastic processes and financial applications
What are the most cited papers in Stochastic processes and financial applications?
The most cited paper in Stochastic processes and financial applications is "ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*" (Robert C. Merton, 1974), with 11,053 citations. Next come "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options" (9,255) and "Theory of rational option pricing" (7,430).
Showing 50 of 100 papers. Every paper with more than 1,122 citations is listed.
| # | Paper | ||
|---|---|---|---|
| 1 | ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* Robert C. Merton · The Journal of Finance | May 1974 | 11,053 |
| 2 | A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston · Review of Financial Studies | Apr 1993 | 9,255 |
| 3 | Theory of rational option pricing Robert C. Merton · WORLD SCIENTIFIC eBooks | Jul 2005 | 7,430 |
| 4 | An equilibrium characterization of the term structure Oldrich Alfons Vasicek · Journal of Financial Economics | Nov 1977 | 6,305 |
| 5 | Option pricing: A simplified approach John C. Cox, Stephen A. Ross, Mark Rubinstein · Journal of Financial Economics | Sep 1979 | 6,227 |
| 6 | Optimum consumption and portfolio rules in a continuous-time model Robert C. Merton · Journal of Economic Theory | Dec 1971 | 6,223 |
| 7 | Limit Theorems for Stochastic Processes. Ditlev Monrad, Jean Jacod, Albert Nikolaevich Shiryaev · Journal of the American Statistical Association | Dec 1988 | 4,191 |
| 8 | The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors John Y. Campbell, Robert J. Shiller · Review of Financial Studies | Jul 1988 | 4,029 |
| 9 | Conditional value-at-risk for general loss distributions R. TYRRELL ROCKAFELLAR, Stan Uryasev · Journal of Banking & Finance | Jul 2002 | 3,758 |
| 10 | Modelling of extremal events in insurance and finance Paul Embrechts, Hanspeter Schmidli · Mathematical Methods of Operations Research | Feb 1994 | 3,536 |
| 11 | Valuing American Options by Simulation: A Simple Least-Squares Approach Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies | 2001 | 3,356 |
| 12 | Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? Victor DeMiguel, Lorenzo Garlappi, Raman Uppal · Review of Financial Studies | 3 Dec 2007 | 3,325 |
| 13 | An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations Desmond John Higham · SIAM Review | 2001 | 3,201 |
| 14 | A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory Richard W. Roll · Journal of Financial Economics | Mar 1977 | 3,098 |
| 15 | Stochastic Differential Equations Bernt Øksendal · Universitext | 2003 | 3,045 |
| 16 | The valuation of options for alternative stochastic processes John C. Cox, Stephen A. Ross · Journal of Financial Economics | 1976 | 3,036 |
| 17 | Transform Analysis and Asset Pricing for Affine Jump-diffusions Darrell Duffie, Jun Min Pan, Kenneth J. Singleton · Econometrica | Nov 2000 | 2,994 |
| 18 | On estimating the expected return on the market Robert C. Merton · Journal of Financial Economics | Dec 1980 | 2,953 |
| 19 | Martingales and stochastic integrals in the theory of continuous trading J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications | Aug 1981 | 2,919 |
| 20 | Adapted solution of a backward stochastic differential equation Étienne Pardoux, Shigē Péng · Systems & Control Letters | 1990 | 2,817 |
| 21 | An intertemporal asset pricing model with stochastic consumption and investment opportunities Douglas T. Breeden · Journal of Financial Economics | Sep 1979 | 2,794 |
| 22 | Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming, Halil Mete Soner | 2005 | 2,789 |
| 23 | Empirical Performance of Alternative Option Pricing Models Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance | Dec 1997 | 2,731 |
| 24 | Mean field games Jean‐Michel Lasry, Pierre-Louis Lions · Japanese journal of mathematics | Mar 2007 | 2,690 |
| 25 | A YIELD‐FACTOR MODEL OF INTEREST RATES Darrell Duffie, Rui Kan · Mathematical Finance | Oct 1996 | 2,644 |
| 26 | The stochastic behavior of common stock variances Value, leverage and interest rate effects Andrew A. Christie · Journal of Financial Economics | Dec 1982 | 2,461 |
| 27 | Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options David S. Bates · Review of Financial Studies | 1996 | 2,411 |
| 28 | Backward Stochastic Differential Equations in Finance Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance | 1997 | 2,401 |
| 29 | Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models Sang‐Joon Kim, Neil Shepherd, Siddhartha Chib · The Review of Economic Studies | Jul 1998 | 2,347 |
| 30 | Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models Ole Eiler Barndorff-Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) | May 2002 | 2,333 |
| 31 | Threshold heteroskedastic models Jean‐Michel Zakoïan · Journal of Economic Dynamics and Control | Sep 1994 | 2,319 |
| 32 | Value and Momentum Everywhere Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen · The Journal of Finance | 30 Jan 2013 | 2,290 |
| 33 | Pricing Interest-Rate-Derivative Securities John C. Hull, Alan D White · Review of Financial Studies | Oct 1990 | 2,259 |
| 34 | Forward and spot exchange rates Eugene F. Fama · Journal of Monetary Economics | Nov 1984 | 2,234 |
| 35 | A Simple Approach to Valuing Risky Fixed and Floating Rate Debt Francis A. Longstaff, Eduardo S. Schwartz · The Journal of Finance | Jul 1995 | 2,188 |
| 36 | … and the Cross-Section of Expected Returns Campbell R. Harvey, Yan Liu, Caroline Zhu · Review of Financial Studies | 9 Oct 2015 | 2,167 |
| 37 | Power and Bipower Variation with Stochastic Volatility and Jumps Ole Eiler Barndorff-Nielsen · Journal of Financial Econometrics | 2 Apr 2004 | 2,138 |
| 38 | Hierarchical structure in financial markets Rosario N. Mantegna · The European Physical Journal B | Sep 1999 | 2,063 |
| 39 | An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory Robert C. Merton · Journal of Banking & Finance | Jun 1977 | 1,993 |
| 40 | Pricing Derivatives on Financial Securities Subject to Credit Risk Robert A. Jarrow, Stuart M. Turnbull · The Journal of Finance | Mar 1995 | 1,991 |
| 41 | A Jump-Diffusion Model for Option Pricing Steven G. Kou · Management Science | Aug 2002 | 1,959 |
| 42 | The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama, Kenneth R. French · The Journal of Economic Perspectives | Aug 2004 | 1,953 |
| 43 | The Variance Gamma Process and Option Pricing Dilip B. Madan, Peter Carr, Eric Chieh C. Chang · European Finance Review | Apr 1998 | 1,910 |
| 44 | Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations Peyman Mohajerin Esfahani, Daniel R. Kuhn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) | 7 May 2015 | 1,905 |
| 45 | Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics Ole Eiler Barndorff-Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) | Jul 2001 | 1,903 |
| 46 | k-Inflation Cristian Armendariz-Picon, Thibault Damour, Viatcheslav Mukhanov · Physics Letters B | Jul 1999 | 1,894 |
| 47 | The Fine Structure of Asset Returns: An Empirical Investigation Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business | Apr 2002 | 1,841 |
| 48 | Specification Analysis of Affine Term Structure Models Qiang Dai, Kenneth J. Singleton · The Journal of Finance | Oct 2000 | 1,833 |
| 49 | The jump-risk premia implicit in options: evidence from an integrated time-series study Jun Min Pan · Journal of Financial Economics | 2002 | 1,816 |
| 50 | Optimal consumption and portfolio policies when asset prices follow a diffusion process John C. Cox, Chi-fu Huang · Journal of Economic Theory | Oct 1989 | 1,723 |
Citations are OpenAlex's own counts, from its 2026-09-23 snapshot, so the ranking can differ from Google Scholar or Web of Science. A paper is listed for a field when OpenAlex files it under one of the field's topics; retracted papers and papers whose citation count cannot be traced to citing works are left out, and a preprint and the article it became are shown once. Release dates are OpenAlex's: where a source gave only a month or a year, that is what is shown. How the lists are chosen.