Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Doldi, A. and Frittelli, M. Entropy martingale optimal transport and nonlinear pricing-hedging duality
• Chen, X., Choi, J.H., Larsen, K. and Seppi, D.J. Price impact in Nash equilibria
• Albrecher, H., Azcue, P. and Muler, N. Optimal dividends under a drawdown constraint and a curious square-root rule
• Kim, D. Market-to-book ratio in stochastic portfolio theory
• Birghila, C., Boonen, T.J. and Ghossoub, M. Optimal insurance under maxmin expected utility
• Bensalem S., Hernandez Santibanez, N. and Kazi-Tani, N. A continuous-time model of self-protection

- in press:

• Biagini F., Mazzon, A. and Perkkiö, A.-P. Optional projection under equivalent local martingale measures

- more accepted papers:

• Wang, Y., Liu, J. and Siu, T.K. Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
• Feinstein, Z. and Sojmark, A. Contagious McKean-Vlasov systems with heterogeneous impact and exposure
• Huayuan, D., Guasoni, P. and Mayerhofer, E. Rogue traders
• Hubert, E. Continuous-time incentives in hierarchies
• Zhang, G. and Li, L. A general approach for Parisian stopping times under Markov processes
• Becherer, D. and Bilarev, T. Hedging with physical or cash settlement under transient multiplicative price impact
• Dammann, F. and Ferrari, G. Optimal execution with multiplicative price impact and incomplete information on the return
• Egorov, S. and Pergamenchtchikov, S. Optimal investment and consumption for financial markets with jumps under transaction costs
• Guyon, J. Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle