97 citations · 798 across the 62 of their papers we have counts for
Showing 2014 · q-fin.MFShow all
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q-fin.MF2014
Optimal switching for pairs trading rule: a viscosity solutions approach
Minh Man Ngo, Huyen Pham
This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process wi…
q-fin.MF2014
Explicit investment rules with time-to-build and uncertainty
René Aid, Salvatore Federico, Huyên Pham +1
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random…