Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Chen, Y. and Feinstein, Z. Set-valued dynamic risk measures for processes and for vectors
• Choulli, T. and Yansori, S. Log-optimal and numéraire portfolios for market models stopped at a random time
• Ha, H. and Bauer, D. A least-squares Monte Carlo approach to the estimation of enterprise risk

- in press:

• Zhitlukhin, M. A continuous-time asset market game with short-lived assets
• Belomestny, D., Hübner, T. and Krätschmer, V. Solving optimal stopping problems under model uncertainty via empirical dual optimisation

- more accepted papers:

• Zähle, H. A concept of copula robustness and its applications in quantitative risk management
• Kühn, C. and Molitor, A. Semimartingale price systems in models with transaction costs beyond efficient friction
• Asmussen, S. On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• Achdou, Y., Bertucci, C., Lasry, J.M., Lions, P.L., Rostand. A. and Scheinkman, J. A class of short-term models for the oil industry addressing speculative storage
• Arrouy, P.-E., Boumezoued, A., Lapeyre, B. and Mehalla, S. Jacobi stochastic volatility factor for the Libor market model
• González Cázares, J. and Mijatović, A. Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Kabanov, Y. and Pergamenshchikov, S. On ruin probabilities with investments in a risky asset with a switching regime price