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A large deviations approach to optimal long term investment
Pham, Huyên - In: Finance and stochastics 7 (2003) 2, pp. 169-195
Persistent link: https://www.econbiz.de/10001762732
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Continuous-time stochastic control and optimization with financial applications
Pham, Huyên - 2009
Persistent link: https://www.econbiz.de/10012878385
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Optimal investment on finite horizon with random discrete order flow in illiquid markets
Gassiat, Paul; Pham, Huyên; Sı̂rbu, Mihai - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 17-40
Persistent link: https://www.econbiz.de/10008908395
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Numerical approximation by quantization of control problems in finance under partial observations
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J. - 2009
Persistent link: https://www.econbiz.de/10003827001
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Explicit investment rules with time-to-build and uncertainty
Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of economic dynamics & control 51 (2015), pp. 240-256
Persistent link: https://www.econbiz.de/10011474400
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Hedging under multiple risk constraints
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
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Dynamic programming and mean-variance hedging
Laurent, Jean Paul; Pham, Huyên - In: Finance and stochastics 3 (1999) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10001367656
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Optimal investment with counterparty risk: a default-density model approach
Jiao, Ying; Pham, Huyên - In: Finance and Stochastics 15 (2011) 4, pp. 725-753
Persistent link: https://www.econbiz.de/10009400208