32 citations · 33 across the 11 of their papers we have counts for
14 papers
On regularity of finite-maturity American put options in the Heston model
Khai Nguyen, Huy Chau
This paper studies the regularity of finite-maturity American value functions in the Heston model. Although the Heston operator is degenerate when the volatility is zero, we are ab…
A general framework for pricing and hedging under local viability
Huy N. Chau, Miklos Rasonyi
In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in c…
On short-time behavior of implied volatility in a market model with indexes
Huy N. Chau, Duy Nguyen, Thai Nguyen
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking p…
Super-replication with transaction costs under model uncertainty for continuous processes
Huy N. Chau, Masaaki Fukasawa, Miklos Rasonyi
We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric sett…
On robust fundamental theorems of asset pricing in discrete time
Huy N. Chau
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) f…
Behavioural investors in conic market models
Huy N. Chau, Miklos Rasonyi
We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences an…
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning
Huy N. Chau, Miklos Rasonyi
Stochastic Gradient Hamiltonian Monte Carlo (SGHMC) is a momentum version of stochastic gradient descent with properly injected Gaussian noise to find a global minimum. In this pap…
The value of informational arbitrage
Huy N. Chau, Andrea Cosso, Claudio Fontana
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside i…
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additi…
On fixed gain recursive estimators with discontinuity in the parameters
Huy N. Chau, Chaman Kumar, Miklós Rásonyi +1
In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instea…
On optimal investment with processes of long or negative memory
Huy N. Chau, Miklos Rasonyi
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the proble…
Skorohod's representation theorem and optimal strategies for markets with frictions
Huy N. Chau, Miklós Rásonyi
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which…
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
Market models with optimal arbitrage
Huy N. Chau, Peter Tankov
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an…