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- Huyên Pham
- 1998

This paper concerns the optimal stopping time problem in a nite horizon of a controlled jump diiusion process. We prove that the value function is continuous and is a viscosity solution of the inte-grodiierential variational inequality arising from the associated dynamic programming. We also establish comparison principles, which yield uniqueness results.… (More)

- Jean Paul Laurent, Huyên Pham
- Finance and Stochastics
- 1999

- Huyên Pham
- Math. Meth. of OR
- 2000

We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local) risk-minimization and the mean-variance approaches. From a mathematical… (More)

- Huyên Pham
- Finance and Stochastics
- 2003

We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-selling of a ‘hedger’ in this market, and can be described by a closed convex set K . We find explicit characterizations of the minimal price needed to… (More)

- Jaksa Cvitanic, Huyên Pham, Nizar Touzi
- Finance and Stochastics
- 1999

We study the problem of nding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a continuous-time diiu-sion model. The result we prove has already been known in special cases-the minimal super-replicating strategy is the least expensive buy-and-hold strategy. Our contribution consists in showing… (More)

- Huyên Pham
- 2002

This paper considers the American put option valuation in a jumpdiffusion model and relates this optimal-stopping problem to a parabolic integrodifferential free-boundary problem, with special attention to the behavior of the optimal-stopping boundary. We study the regularity of the American option value and obtain in particular a decomposition of the… (More)

- Huyên Pham, Thorsten Rheinländer, Martin Schweizer
- Finance and Stochastics
- 1998

Let X be a special semimartingale of the form X = X0 + M + ∫ d〈M〉 λ̂, denote by K̂ = ∫ λ̂ d〈M〉 λ̂ the mean-variance tradeoff process of X and by Θ the space of predictable processes θ for which the stochastic integral G(θ) = ∫ θdX is a square-integrable semimartingale. For a given constant c ∈ IR and a given square-integrable random variable H, the… (More)

- Bruno Bouchard, Huyên Pham
- Finance and Stochastics
- 2004

- Huyên Pham, Huyen Pham
- 2007

In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer’s theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance sampling are used in rare event… (More)