Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Dai, M., Qian, S., Qin, L. and Xu, J. Lifetime portfolio and consumption choice with defined contribution plans
• Criens, D. and Urusov, M. Criteria for the absence of arbitrage in general diffusion markets
• Fernholz, R.T. and Fernholz, R. Portfolios generated by contingent claim functions, with applications to option pricing
• Cartea, A., Jaimungal, S. and Sanchez-Betancourt, L. Nash equilibrium between brokers and traders
• Shigeta, Y. An economic interpretation and mathematical analysis of Epstein--Zin stochastic differential utility for an infinite horizon when θ < 0
• Henderson, V., Jacka, S., Liu, R. and Maeda, J. The support and resistance line method: An analysis via optimal stopping

- in press:

• Laeven, R.J.A., Rosazza Gianin, E. and Zullino, M.Star-shaped and dynamic return risk measures via BSDEs

- more accepted papers: also visible on Springer's Forthcoming Papers page

• Bank, P., Cartea, A. and Körber, L. Optimal execution and speculation with trade signals
• Choulli, T. and Lepinette, E. Super-hedging-pricing formulas and immediate-profit arbitrage for market models under random horizon
• Itkin, D., Koch, B., Larsson, M. and Teichmann, T. Ergodic robust maximisation of asymptotic growth with stochastic factor processes
• Abi Jaber, E., Li, X. and Lin, X. Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
• Liu, P., Tsanakas, A. and Wei, Y. Risk sharing with lambda value-at-risk under heterogeneous beliefs
• Giles, M.B., Haji-Ali, A.-L. and Spence, J. Risk sharing with lambda value-at-risk under heterogeneous beliefs
• Bartl, D., Neufeld, A. and Park, K. Sensitivity of robust optimisation problems under drift and volatility uncertainty
• Nadtochiy, S. and Yin, Y. Consistency of MLE for partially observed diffusions, with application in market microstructure modelling
• Ouazzani Chahdi Y., Rosenbaum, M. and Szymanski, G. A theory of passive market impact
• Muhle-Karbe, J., Neuman, E. and Shadmi, Y. Fluid-limits of fragmented limit-order markets
• Zhang, G. Analysis of Markov chain approximation for regime-switching jump diffusions with nonsmooth coefficients: deformed contour integration approach
• Jeon, J., Chen, K. and Koo, H. K. Optimal consumption and portfolio rules with dynamic adjustment of consumption bounds
• Guo, I., Jin, S. and Nam, K. Macroscopic market making
• Bielecki, T.R., Jakubowski, J. and Wisniewolski, M. On evolution of marginal distributions for Markov processes
• Bonesini, O., Ferrucci, E., Gasteratos, I. and Jacquier, A. Rough differential equations for volatility
• Dianetti, J., Riedel, F. and Stanca, L. Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
• Tian, D., Tian, W. and Yang, Z. Epstein-Zin utility maximisation with discretionary stopping
• Chen, M., Guo, Y. and Zhang, M. The optimal sequence of branching times of the branching type risk model
• Abi Jaber, E., Bondi, A., De Carvalho, N., Neuman, E. and and Tuschmann, S. Fredholm approach to nonlinear propagator models
• Neufeld, A. and Schmocker, P. Chaotic hedging with iterated integrals and neural networks
• Chen, K., Park, K. and Wong, H.Y. Robust dividend policy: equivalence of Epstein-Zin and Maenhout preferences
• Ninomiya, S. and Shinozaki, Y. A high-order recombination algorithm for weak approximation of stochastic differential equations
• Abi Jaber, E., Gassiat, P. and Sotnikov, D. Martingale property and moment explosions in signature volatility models