142 citations · 240 across the 21 of their papers we have counts for
4 papers · 1 filter
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…
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…