Finance and Stochastics - Forthcoming Papers
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
Çetin, U. and Hok, J.
Speeding up the Euler scheme for killed diffusions
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
Pages, G. and Jourdain, B.
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
Ackermann, J., Kruse, T. and Urusov, M.
Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
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
Cont, R., Micheli, A. and Neuman E.
Fast and slow optimal trading with exogenous information
Cuchiero, C., Primavera, F. and Svaluto-Ferro, S.
Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models