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Stochastic process
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Explicit solution to an irreversible investement model with a stochastic production capacity
Pham, Huyên
- In:
From stochastic calculus to mathematical finance : the …
,
(pp. 547-565)
.
2006
Persistent link: https://www.econbiz.de/10003287171
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2
Continuous-time stochastic control and optimization with financial applications
Pham, Huyên
-
2009
Persistent link: https://www.econbiz.de/10012878385
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3
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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4
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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5
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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6
Mean-variance hedging for continuous processes : new proofs and examples
Pham, Huyên
- In:
Finance and stochastics
2
(
1998
)
2
,
pp. 173-198
Persistent link: https://www.econbiz.de/10001235406
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7
Arbitrage and super-replication cost with convex constraints
Carassus, Laurence
;
Pham, Huyên
;
Touzi, Nizar
-
1997
Persistent link: https://www.econbiz.de/10000980462
Saved in:
8
Mean-variance hedging for continuous processes : new proofs and examples
Pham, Huyên
;
Rheinländer, Thorsten
;
Schweizer, Martin
-
1997
Persistent link: https://www.econbiz.de/10009632600
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9
Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric
;
Huré, Côme
;
Pham, Huyên
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
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10
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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