Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Ghossoub, M. and Zhu, M. Risk-constrained portfolio choice under rank-dependent utility
• Cuchiero, C., Primavera, F. and Svaluto-Ferro, S. Universal approximation theorems for continuous functions of cadlag paths and Levy-type signature models
• Carassus, L. and Wiesel, J. Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
• Boyarchenko, S. and Levendorskii, S. Efficient evaluation of expectations of functions of a Lévy process and its extremum

- in press:

• Tangpi, L. and Wang, S. Optimal bubble riding: A mean field game with varying entry times
• Cont, R., Micheli, A. and Neuman, E. Fast and slow optimal trading with exogenous information
• Liang, Z., Liu, Y. and Zhang, L. A framework of state-dependent utility optimisation with general benchmarks

- more accepted papers:

• Ichiba, T., Pang, G. and Taqqu, M.S. Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
• Costa, M., Gadat, S. and Huang, L. CV@R penalized portfolio optimisation with biased stochastic mirror descent
• Robertson, S. Equilibrium with heterogenous information flows
• Das, B. and Fasen-Hartmann, V. Measuring risk contagion in financial networks with CoVaR
• Goldberg, L.R., Gurdogan, H. and Kercheval, A. Portfolio optimisation via strategy-specific eigenvector shrinkage
• Černý, A. and Czichowsky, C. The law of one price in quadratic hedging and mean–variance portfolio selection
• Herdegen, M., Hobson, D. and Jerome, J. Proper solutions for Epstein-Zin stochastic differential utility
• Behme, A. Volatility modeling in a Markovian environment: two Ornstein-Uhlenbeck-related approaches
• Bayer, C., Pelizzari, L. and Schoenmakers, J. Primal and dual optimal stopping with signatures
• Crépey, S., Frikha, N. and Louzi, A. A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
• Alvarez, G.A. 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