Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Behme, A. Volatility modeling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
• Bayer, C., Pelizzari, L. and Schoenmakers, J. Primal and dual optimal stopping with signatures

- in press:

• Junike, G., Stier H., and Christiansen, M. Profit and loss decomposition in continuous time and approximations
• Lucic, V. A general moment formula

- 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
• 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
• 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
• 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