Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Horvath, B., Jacquier, A., Muguruza, A. and Sojmark, A. Functional central limit theorems for rough volatility

- in press:

- more accepted papers:

• Çetin, U. and Hok, J. Speeding up the Euler scheme for killed diffusions
• Horst, U. and Kivman, E. Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
• Chen, K. and Wong, H.Y. Duality in optimal consumption-investment problems with alternative data
• Ackermann, J., Kruse, T. and Urusov, M. Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
• Ansari, J., Lütkebohmert, E., Neufeld, A. and Sester, J. Improved robust price bounds for multi-asset derivatives under market-implied dependence information
• Arandjelovic, A., Rheinländer, T. and Shevchenko, P.V. Importance sampling for option pricing with feedforward neural networks
• Gonon, L. Deep neural network expressivity for optimal stopping problems
• Liebrich, F. Risk sharing under heterogeneous beliefs without convexity
• Friesen, M. and Karbach, S. Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Jourdain, B. and Pages, G. Convex ordering for stochastic Volterra equations and their Euler schemes
• Benth, F.E. and Eyjolfsson, E. Robustness of Hilbert space-valued stochastic volatility models
• Bayer, C., Belomestny, D., Butkovsky, O. and Schoenmakers, J. A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
• Bernard, C., Junike, G., Lux, T. and Vanduffel, S. Cost-efficient payoffs under model ambiguity
• Abi Jaber, E. and Villeneuve, S. Gaussian agency problems with memory and linear contracts
• Costa, M., Gadat, S. and Huang, L. CV@R penalized portfolio optimization with biased stochastic mirror descent
• Mostovyi, O. and Siorpaes, P. Pricing of contingent claims in large markets
• Benth, F.E. and Sgarra, C. A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
• Liang, Z., Liu, Y. and Zhang, L. A framework of state-dependent utility optimization with general benchmarks
• Boyarchenko, S. and Levendorskii, S. Efficient evaluation of expectations of functions of a Lévy process and its extremum
• Gairat, A. and Shcherbakov, V. Extreme ATM skew in a local volatility model with discontinuity: joint density approach
• Tangpi, L. and Wang, S. Optimal bubble riding: A mean field game with varying entry times