142 citations · 240 across the 21 of their papers we have counts for
28 papers
Exponential investors with weakly mean-reverting prices
Balazs Hoffmann, Miklos Rasonyi
We investigate a continuous-time financial market where the asset price exhibits weak (sublinear) mean reversion and has a nonzero drift. Complementing earlier work on strong (supe…
A note on markets with semi-static trading strategies
Miklós Rásonyi
We consider a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also (possibly infinitely many) static options to choose…
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…
Convergence of the Kiefer-Wolfowitz algorithm in the presence of discontinuities
Miklos Rasonyi, Kinga Tikosi
In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representatio…
From small markets to big markets
Laurence Carassus, Miklos Rasonyi
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a…
Risk-neutral pricing for APT
Laurence Carassus, Miklos Rasonyi
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provi…