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Items where Author is "Rásonyi, Miklós"

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Article

Gerencsér, Balázs and Rásonyi, Miklós (2022) Invariant measures for multidimensional fractional stochastic volatility models. STOCHASTICS PARTIAL DIFFERENTIAL EQUATIONS: ANALYSIS AND COMPUTATIONS, Publis. ISSN 2194-0401

Chau, Ngoc Huy and Fukasawa, Masaaki and Rásonyi, Miklós (2022) Super-replication with transaction costs under model uncertainty for continuous processes. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 32 (4). pp. 1066-1085. ISSN 0960-1627

Barkhagen, M. and Chau, Ngoc Huy and Moulines, E. and Rásonyi, Miklós and Sabanis, S. (2021) On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case. BERNOULLI, 27 (1). pp. 1-33. ISSN 1350-7265

Guasoni, Paolo and Nagy, Lóránt and Rásonyi, Miklós (2021) Young, Timid, and Risk Takers. MATHEMATICAL FINANCE : AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 31 (4). pp. 1332-1356. ISSN 0960-1627 (print); 1467-9965 (online)

Chau, Huy N. and Rásonyi, Miklós (2020) Behavioural investors in conic market models. THEORY OF PROBABILITY AND ITS APPLICATIONS. pp. 1-9. ISSN 0040-585X

Carassus, L. and Rásonyi, Miklós (2020) From small markets to big markets. BANACH CENTER PUBLICATIONS, 122. pp. 41-52. ISSN 0137-6934

Rásonyi, Miklós and Meireles-Rodrigues, Andrea (2020) On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, Accept. ISSN 0960-1627

Carassus, Laurence and Rásonyi, Miklós (2020) Risk-neutral pricing for Arbitrage Pricing Theory. Journal of Optimization Theory and Applications, 186 (1). pp. 248-263. ISSN 0022-3239

Chau, Ngoc Huy and Kumar, Chaman and Rásonyi, Miklós and Sabanis, Sotirios (2019) On fixed gain recursive estimators with discontinuity in the parameters. ESAIM: Probability and Statistics, 23. pp. 217-244. ISSN 1262-3318

Chau, Ngoc Huy and Rásonyi, Miklós (2019) Robust utility maximisation in markets with transaction costs. FINANCE AND STOCHASTICS, 23 (3). pp. 677-696. ISSN 0949-2984

Blanchard, Romain and Carassus, Laurence and Rásonyi, Miklós (2018) No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 88 (2). pp. 241-281. ISSN 1432-2994

Gerencsér, Balázs and Rásonyi, Miklós (2018) On the ergodicity of certain Markov chains in random environments. TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY. pp. 1-22. ISSN 0002-9947

Rásonyi, Miklós (2018) On utility maximization without passing by the dual problem. STOCHASTICS, 90 (4). pp. 1095-1113. ISSN 1744-2508

Rásonyi, Miklós and Sayit, H. (2018) Sticky processes, local and true martingales. BERNOULLI, 24 (4A). pp. 2429-2460. ISSN 1350-7265

Pennanen, T. and Perkkiö, A-P. and Rásonyi, Miklós (2017) Existence of solutions in non-convex dynamic programming and optimal investment. MATHEMATICS AND FINANCIAL ECONOMICS. pp. 1-16. ISSN 1862-9679 (In Press)

Rásonyi, Miklós (2017) Maximizing expected utility in the Arbitrage Pricing Model. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 454 (1). pp. 127-143. ISSN 0022-247X

Chau, Ngoc Huy and Rásonyi, Miklós (2017) On optimal investment with processes of long or negative memory. STOCHASTIC PROCESSES AND THEIR APPLICATIONS. pp. 1-21. ISSN 0304-4149

Chau, Ngoc Huy and Rásonyi, Miklós (2017) Skorohod's representation theorem and optimal strategies for markets with frictions. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 55 (6). pp. 3592-3608. ISSN 0363-0129

Carassus, L. and Rásonyi, Miklós (2016) Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models. MATHEMATICS OF OPERATIONS RESEARCH, 41 (1). pp. 146-173. ISSN 0364-765X

Rásonyi, Miklós (2016) On optimal strategies for utility maximizers in the arbitrage pricing model. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 19 (7). pp. 1-12. ISSN 0219-0249

Rásonyi, Miklós and Rodríguez-Villarreal, José G. (2016) Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models. THEORY OF PROBABILITY AND ITS APPLICATIONS, 60 (4). pp. 631-646. ISSN 0040-585X

Mbele Bidima, M. L. D. and Rásonyi, Miklós (2015) Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets. ACTA APPLICANDAE MATHEMATICAE, 138 (1). pp. 1-15. ISSN 0167-8019

Guasoni, Paolo and Rásonyi, Miklós (2015) Fragility of arbitrage and bubbles in local martingale diffusion models. FINANCE AND STOCHASTICS, 19 (2). pp. 215-231. ISSN 0949-2984

Guasoni, Paolo and Rásonyi, Miklós (2015) Hedging, arbitrage and optimality with superlinear frictions. ANNALS OF APPLIED PROBABILITY, 25 (4). pp. 2066-2095. ISSN 1050-5164

Carassus, L and Rásonyi, Miklós and Rodrigues, A. M. (2015) Non-concave utility maximisation on the positive real axis in discrete time. MATHEMATICS AND FINANCIAL ECONOMICS, 9 (4). pp. 325-349. ISSN 1862-9679

Carassus, L. and Rásonyi, Miklós (2013) On optimal investment for a behavioral investor in multiperiod incomplete market Models. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 25 (1). pp. 115-153. ISSN 0960-1627

Book Section

Caré, Algo and Csáji, Balázs Csanád and Gerencsér, Balázs and Gerencsér, László and Rásonyi, Miklós (2019) Parameter-Dependent Poisson Equations : Tools for Stochastic Approximation in a Markovian Framework. In: 2019 IEEE 58th Conference on Decision and Control (CDC). Proceedings of the IEEE Conference on Decision and Control . IEEE, Piscataway (NJ), pp. 2259-2264. ISBN 9781728113982

Rásonyi, Miklós and Rodríguez-Villarreal, José G. (2015) Optimal investment under behavioural criteria — a dual approach. In: Advances in Mathematics of Finance. Stefan Banach International Mathematical Center, Warsaw, pp. 167-180. ISBN 978-83-86806-27-0

Monograph

Rásonyi, Miklós (2009) Arbitrázs és árazó funkcionálok pénzügyi piacmodellekben = Arbitrage and pricing functionals in financial market models. Project Report. OTKA.

Gerencsér, László and Berlinger, Edina and Gerencsérné Vágó, Zsuzsanna and Mátyás, Zalán and Michaletzky, György and Molnár Sáska, Gábor and Orlovits, Zsanett and Rásonyi, Miklós and Sándorné Kmecs, Ildikó and Száz, János and Szepesvári, Csaba and Véber, Miklós (2007) Sztochasztikus Rendszerek és Pénzügyi Piacok Modellezése = Stochastic Systems and Modelling of Financial Markets. Project Report. OTKA.

This list was generated on Thu Mar 28 14:54:45 2024 CET.