Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• A. Alvarez, G. and Nadtochiy, S. Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
• Bladt, M., Minca, A. and Peralta, O. Approximations of semi-Markov processes and insurance policy valuation
• Langner, J. and Svindland, G. Bipolar theorems for sets of nonnegative random variables
• Antipov, V. and Kabanov, Y. Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
• Yu, X. and Yuan, F. Time-inconsistent mean-field stopping problems: A regularised equilibrium approach

- in press:

• 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
• Di Nunno, G. and Yurchenko-Tytarenko, A. Sandwiched Volterra volatility model: Markovian approximations and hedging

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

• Criens, D. and Urusov, M. Criteria for the absence of arbitrage in general diffusion markets
• Pulido, S., Rosenbaum, M. and Sfendourakis, E. Understanding the worst-kept secret of high-frequency trading
• Joseph, B., Loeper, G. and Obloj, J. Calibration of local volatility models with stochastic interest rates using optimal transport
• 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
• 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
• Fernholz, R.T. and Fernholz, R. Portfolios generated by contingent claim functions, with applications to option pricing
• Itkin, D., Koch, B., Larsson, M. and Teichmann, T. Ergodic robust maximisation of asymptotic growth with stochastic factor processes
• Cartea, A., Jaimungal, S. and Sanchez-Betancourt, L. Nash equilibrium between brokers and traders
• 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