On short-time behavior of implied volatility in a market model with indexes

no code implementations • 26 Feb 2024 • Huy N. Chau, Duy Nguyen, Thai Nguyen

This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure.

Super-replication with transaction costs under model uncertainty for continuous processes

no code implementations • 3 Feb 2021 • Huy N. Chau, Masaaki Fukasawa, Miklos Rasonyi

We formulate a superhedging theorem in the presence of transaction costs and model uncertainty.

On robust fundamental theorems of asset pricing in discrete time

no code implementations • 6 Jul 2020 • Huy N. Chau

This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings.

Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning

no code implementations • 25 Mar 2019 • 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.