TITLE: Good papers on stochastic differential equations with applications in finance
QUESTION [7 upvotes]: I recently completed reading the book "Stochastic Differential Equations" by Bernt Oksendal which is the first time ever I was exposed to the topic. Now I am interested in pursuing research ( Ph.D.) SDEs and its applications in finance and I would like some help finding some recent papers related to or useful when doing research. I have already looked at some papers on MathSciNet by the same author but I would much appreciate if anyone can suggest some journals or papers/ articles that are relevant and useful in the current times. Thank you in advance!

REPLY [5 votes]: As indicated in the comments, the field is very wide, but I understand from the comment of the OP to zab's answer that there is a specific interest in the more narrow subtopic of applications of fractional Brownian motion to quantitative finance. Here are some overviews:

Fractional Brownian Motion in Finance (2003)
Fractional Brownian Motion and applications to financial modelling (2011)
A note on the use of fractional Brownian motion for financial modeling (2013)

To get a feel for recent research on this topic, here are some arXiv contributions from the last year or so:

Modeling the price of Bitcoin with geometric fractional Brownian motion
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Hedging in fractional Black-Scholes model with transaction costs

The 2013 paper referred to above notes that the application of fractional Brownian motion to financial modeling still has several unsolved problems of a foundational nature, so this might a fruitful area of research for someone entering the field (it seems a less mature topic than others).