Finance and Stochastics: Forthcoming papers
- already available on Springer's Online First page
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- in press:
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- more accepted papers: also visible on Springer's Forthcoming Papers page
- Crépey, S., Frikha, N. and Louzi, A. A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
- Alonso Alvarez, G. and Nadtochiy, S. Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
- Junike, G., Stier H., and Christiansen, M. Profit and loss decomposition in continuous time and approximations
- Ekren, I., Mostowski, B. and Zitkovic, G. Kyle's model with stochastic liquidity
- Bladt, M., Minca, A. and Peralta, O. Approximations of semi-Markov processes and insurance policy valuation
- Di Nunno, G. and Yurchenko-Tytarenko, A. Sandwiched Volterra volatility model: Markovian approximations and hedging
- Yu, X. and Yuan, F. Time-inconsistent mean-field stopping problems: A regularised equilibrium approach
- Amini, H., Cao, Z. and Sulem, A. Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures
- Criens, D. and Urusov, M. Criteria for the absence of arbitrage in general diffusion markets
- Biagini, F., Doldi, A., Fouque, J.-P., Frittelli, M. and Meyer-Brandis, T. Collective arbitrage and the value of cooperation
- Yang, Z. and Jeon, J. A problem of finite-Horizon optimal switching and stochastic control for utility maximisation
- Pulido, S., Rosenbaum, M. and Sfendourakis, E. Understanding the worst-kept secret of high-frequency trading
- Armstrong, J. and Ionescu, A. Gamma hedging and rough paths
- Joseph, B., Loeper, G. and Obloj, J. Calibration of local volatility models with stochastic interest rates using optimal transport
- Langner, J. and Svindland, G. Bipolar theorems for sets of nonnegative random variables
- Lucic, V. A general moment formula
- Han, X., Wang, R. and Wu, Q. Monotonic mean-deviation risk measures
- Wang, B., Gao, X. and Li, L. Reinforcement learning for continuous-time optimal execution: actor-critic algorithm and error analysis
- Antipov, V. and Kabanov, Y. Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
- Li, L., Liu, R. and Rutkowski, M. Vulnerable European and American options in a hazard process model
- Huang, M. and Wang, R. Coherent risk measures and uniform integrability
- Dai, M., Qian, S., Qin, L. and Xu, J. Lifetime portfolio and consumption choice with defined contribution plans
- Henderson, V., Jacka, S., Liu, R. and Maeda, J. The support and resistance line method: An analysis via optimal stopping
- Shigeta, Y. An economic interpretation and mathematical analysis of Epstein--Zin stochastic differential utility in infinite horizon when θ < 0
- 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
- Laeven, R.J.A., Rosazza Gianin, E. and Zullino, M. Dynamic return and star-shaped risk measures via BSDEs
Last update
23.06.2025
Jean-Luc Pfisterer