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Chau, Huy N.
921  Ergebnisse:
Personensuche X
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1

On Robust Fundamental Theorems of Asset Pricing in Discrete..:

Chau, Huy N.
SIAM Journal on Financial Mathematics.  15 (2024)  3 - p. 571-600 , 2024
Link: https://doi.org/10.1137/..
 
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2

On the Inversion‐Free Newton's Method and Its Applications:

Chau, Huy N. ; Kirkby, J. Lars ; Nguyen, Dang H....
International Statistical Review.  92 (2024)  2 - p. 284-321 , 2024
Link: https://doi.org/10.1111/..
 
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3

Super‐replication with transaction costs under model uncert..:

Chau, Huy N. ; Fukasawa, Masaaki ; Rásonyi, Miklós
Mathematical Finance.  32 (2022)  4 - p. 1066-1085 , 2022
Link: https://doi.org/10.1111/..
 
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4

Stochastic Gradient Hamiltonian Monte Carlo for non-convex ..:

Chau, Huy N. ; Rásonyi, Miklós
Stochastic Processes and their Applications.  149 (2022)  - p. 341-368 , 2022
Link: https://doi.org/10.1016/..
 
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5

The value of informational arbitrage:

Chau, Huy N. ; Cosso, Andrea ; Fontana, Claudio
Finance and Stochastics.  24 (2020)  2 - p. 277-307 , 2020
Link: https://doi.org/10.1007/..
 
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6

Robust utility maximisation in markets with transaction cos..:

Chau, Huy N. ; Rásonyi, Miklós
Finance and Stochastics.  23 (2019)  3 - p. 677-696 , 2019
Link: https://doi.org/10.1007/..
 
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7

On optimal investment with processes of long or negative me..:

Chau, Huy N. ; Rásonyi, Miklós
Stochastic Processes and their Applications.  128 (2018)  4 - p. 1095-1113 , 2018
Link: https://doi.org/10.1016/..
 
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8

Arbitrage and utility maximization in market models with an..:

Chau, Huy N. ; Runggaldier, Wolfgang J. ; Tankov, Peter
Mathematics and Financial Economics.  12 (2018)  4 - p. 589-614 , 2018
Link: https://doi.org/10.1007/..
 
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9

Optimal investment with intermediate consumption under no u..:

Chau, Huy N. ; Cosso, Andrea ; Fontana, Claudio.
Journal of Applied Probability.  54 (2017)  3 - p. 710-719 , 2017
Link: https://doi.org/10.1017/..
 
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10

OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION UNDER NO U..:

CHAU, HUY N. ; COSSO, ANDREA ; FONTANA, CLAUDIO.
Journal of Applied Probability.  54 (2017)  3 - p. 710-719 , 2017
Link: https://www.jstor.org/st..
 
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11

Skorohod's Representation Theorem and Optimal Strategies fo..:

Chau, Huy N. ; Rásonyi, Miklós
SIAM Journal on Control and Optimization.  55 (2017)  6 - p. 3592-3608 , 2017
Link: https://doi.org/10.1137/..
 
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12

Market Models with Optimal Arbitrage:

Chau, Huy N. ; Tankov, Peter
SIAM Journal on Financial Mathematics.  6 (2015)  1 - p. 66-85 , 2015
Link: https://doi.org/10.1137/..
 
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13

Super-replication with transaction costs under model uncert..:

Chau, Huy N ; Fukasawa, Masaaki ; Rasonyi, Miklos
http://arxiv.org/abs/2102.02298.  , 2021
Link: http://arxiv.org/abs/210..
 
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14

Robust fundamental theorems of asset pricing in discrete ti..:

Chau, Huy N
http://arxiv.org/abs/2007.02553.  , 2020
Link: http://arxiv.org/abs/200..
 
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15

Behavioural investors in conic market models:

Chau, Huy N ; Rásonyi, Miklós
http://real.mtak.hu/103615/2/1903.pdf.  , 2020
Link: http://real.mtak.hu/1036..
 
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