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.

From small markets to big markets

no code implementations • 12 Jul 2019 • 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 factor structure.

Risk-neutral pricing for APT

no code implementations • 25 Apr 2019 • Laurence Carassus, Miklos Rasonyi

We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory.

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.