Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

- in press:

• Itkin, D., Koch, B., Larsson, M. and Teichmann, T. Ergodic robust maximisation of asymptotic growth with stochastic factor processes
• Choulli, T. and Lepinette, E. Super-hedging-pricing formulas and immediate-profit arbitrage for market models under random horizon
• Giles, M.B., Haji-Ali, A.-L. and Spence, J. Risk sharing with lambda value-at-risk under heterogeneous beliefs
• Bank, P., Cartea, A. and Körber, L. Optimal execution and speculation with trade signals

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

• 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
• 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
• Guo, I., Jin, S. and Nam, K. Macroscopic market making
• Bielecki, T.R., Jakubowski, J. and Wisniewolski, M. On evolution of marginal distributions for Markov processes
• Bonesini, O., Ferrucci, E., Gasteratos, I. and Jacquier, A. Rough differential equations for volatility
• Dianetti, J., Riedel, F. and Stanca, L. Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
• Tian, D., Tian, W. and Yang, Z. Epstein-Zin utility maximisation with discretionary stopping
• Chen, M., Guo, Y. and Zhang, M. The optimal sequence of branching times of the branching type risk model
• Abi Jaber, E., Bondi, A., De Carvalho, N., Neuman, E. and and Tuschmann, S. Fredholm approach to nonlinear propagator models
• Neufeld, A. and Schmocker, P. Chaotic hedging with iterated integrals and neural networks
• Chen, K., Park, K. and Wong, H.Y. Robust dividend policy: equivalence of Epstein-Zin and Maenhout preferences
• Ninomiya, S. and Shinozaki, Y. A high-order recombination algorithm for weak approximation of stochastic differential equations
• Abi Jaber, E., Gassiat, P. and Sotnikov, D. Martingale property and moment explosions in signature volatility models
• Itkin, D. and Larsson, M. Calibrated rank volatility stabilised models for large equity markets
• Dai Pra, P. and Pigato, P. A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
• Liebrich, F.-B. and Wang, R. Eliciting reference measures of law-invariant functionals
• de Angelis, T., Milazzo, A. and Stabile, G.On variable annuities with surrender charges
• Han, J., Zhang, Q., Li, Y. and Chen, L. Analytic approximate solutions for option prices under the Heston model of stochastic volatility
• Bender, C. and Tran Thuan, N. Entropy-regularised mean-variance portfolio optimisation with jumps