Követés
Miklos Rasonyi
Miklos Rasonyi
Alfred Renyi Institute of Mathematics, Budapest
E-mail megerősítve itt: renyi.hu
Cím
Hivatkozott rá
Hivatkozott rá
Év
Consistent price systems and face-lifting pricing under transaction costs
P Guasoni, M Rásonyi, W Schachermayer
The Annals of Applied Probability 18 (2), 491-520, 2008
1512008
A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
I Gyöngy, M Rásonyi
Stochastic processes and their applications 121 (10), 2189-2200, 2011
1352011
The fundamental theorem of asset pricing for continuous processes under small transaction costs
P Guasoni, M Rásonyi, W Schachermayer
Annals of Finance 6 (2), 157-191, 2010
1282010
No-arbitrage criteria for financial markets with efficient friction
Y Kabanov, M Rásonyi, C Stricker
Finance and Stochastics 6 (3), 371-382, 2002
1242002
On utility maximization in discrete-time financial market models
M Rásonyi, L Stettner
The Annals of Applied Probability 15 (2), 1367-1395, 2005
862005
The fundamental theorem of asset pricing under transaction costs
P Guasoni, E Lépinette, M Rásonyi
Finance and Stochastics 16 (4), 741-777, 2012
802012
On the closedness of sums of convex cones in and the robust no-arbitrage property
Y Kabanov, M Rásonyi, C Stricker
Finance and Stochastics 7 (3), 403-411, 2003
732003
On stochastic gradient langevin dynamics with dependent data streams: The fully nonconvex case
NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
SIAM Journal on Mathematics of Data Science 3 (3), 959-986, 2021
412021
On optimal investment for a behavioral investor in multiperiod incomplete market models
L Carassus, M Rasonyi
Mathematical Finance 25 (1), 115-153, 2015
402015
Fragility of arbitrage and bubbles in local martingale diffusion models
P Guasoni, M Rásonyi
Finance and Stochastics 19 (2), 215-231, 2015
322015
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
M Barkhagen, NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
Bernoulli 27 (1), 1-33, 2021
282021
Hedging, arbitrage and optimality with superlinear frictions
P Guasoni, M Rásonyi
The Annals of Applied Probability 25 (4), 2066-2095, 2015
282015
Arbitrage under transaction costs revisited
M Rásonyi
Optimality and Risk-Modern Trends in Mathematical Finance, 211-225, 2009
282009
Optimal strategies and utility-based prices converge when agents’ preferences do
L Carassus, M Rásonyi
Mathematics of Operations Research 32 (1), 102-117, 2007
282007
Optimal portfolio choice for a behavioural investor in continuous-time markets
M Rásonyi, AM Rodrigues
Annals of Finance 9 (2), 291-318, 2013
252013
Maximization of nonconcave utility functions in discrete-time financial market models
L Carassus, M Rásonyi
Mathematics of Operations Research 41 (1), 146-173, 2016
222016
New methods in the arbitrage theory of financial markets with transaction costs
M Rásonyi
Séminaire de Probabilités XLI, 455-462, 2008
202008
Trading fractional Brownian motion
P Guasoni, Z Nika, M Rásonyi
SIAM journal on financial mathematics 10 (3), 769-789, 2019
192019
Convergence of utility indifference prices to the superreplication price
L Carassus, M Rásonyi
Mathematical Methods of Operations Research 64 (1), 145-154, 2006
182006
On fixed gain recursive estimators with discontinuity in the parameters
HN Chau, C Kumar, M Rásonyi, S Sabanis
ESAIM: Probability and Statistics 23, 217-244, 2019
172019
A rendszer jelenleg nem tudja elvégezni a műveletet. Próbálkozzon újra később.
Cikkek 1–20