Forthcoming papers in Finance and Stochastics

- already available on Springer's Online First page

• Barski, M. and Zabczyk, J. Forward rate models with linear volatilities
• Grépat, J. and Kabanov, Y. Small transaction costs, absence of arbitrage and consistent price systems
• Gerhold, S., Muhle-Karbe, J. and Schachermayer, W. The dual optimizer for the growth-optimal portfolio under transaction costs
• Bai, L., Hunting, M. and Paulsen, J. Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Coculescu, D., Jeanblanc, M. and Nikeghbali, A. Default times, no-arbitrage conditions and changes of probability measures
• Kardaras, K. Market viability via absence of arbitrage of the first kind
• Larsen, K. and Yu, H. Horizon dependence of utility optimizers in incomplete models
• Jiang, Z. and Pistorius, M. Optimal dividend distribution under Markov regime switching
• Detemple, J., Tian, W. and Xiong, J. An stopping problem with a reward contraint
• Sekine, J. Long-term optimal portfolios with floor
• Alòs, E. A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• Acciaio, B., Föllmer, H. and Penner, I. Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
• Korn, R. and Müller, S. The optimal-drift model – An accelerated binomial scheme
• Keller-Ressel, M. and Muhle-Karbe, J. Asymptotic and exact pricing of options on variance
• Vovk, V. Continuous-time trading and the emergence of probability
• Appleby, J., Riedle, M. and Swords, C. Bubbles and crashes in a Black–Scholes model with delay
• Jarrow, R., Kchia, Y., Larsson, M. and Protter, P. Discretely sampled variance and volatility swaps versus their continuous approximations
• Norberg, R. Optimal hedging of demographic risk in life insurance and pensions
• Kraft, H., Seifried F. T. and Steffensen, M. Consumption-portfolio optimization with recursive utility in incomplete markets
• Muraviev R. Market selection with learning and catching up with the Joneses
• Hunting, M. and Paulsen, J. Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• Denis, E., Guasoni P. and Rasonyi, M. The fundamental theorem of asset pricing under transaction costs

- in press:

• Czichowsky, Ch. Time-consistent mean-variance portfolio selection in discrete and continuous time
• Cuchiero, Ch., Keller-Ressel, M. and Teichmann, J. Polynomial processes and their applications to mathematical finance
• Hobson, D. and Klimmek, M. Model independent hedging strategies for variance swaps
• Dolinsky, Y. and Soner, M. Duality and convergence for binomial markets with friction

- more accepted papers:

• Bentata, A. and Cont, R. Forward equations for option prices in semimartingale models
• Takaoka, K. A note on the condition of no unbounded profit with bounded risk
• Bion-Nadal, J. and Di Nunno, G. Polynomial processes and their applications to mathematical finance
• Bouchard, B. and Dang, N. M. Generalized stochastic target problems for the pricing and partial hedging under loss constraints - Application in optimal book liquidation
• Lamberton, D. and Mikou, M. Exercise boundary of the American put near maturity in an exponential Lévy mode
• Berdjane, B. and Pergamenshchikov, S. Optimal consumption and investment for markets with random coefficients
• Campi, L, Çetin, U. and Danilova, A. Equilibrium model with default and insider's dynamic information