Huyen Pham

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This paper studies the problem of a company that adjusts its stochastic production capacity in reversible investments with controls of expansion and contraction. The company may also decide on the activation time of its production. The profit production function is of a very general form satisfying minimal standard assumptions. The objective of the company(More)
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask(More)
  • Rama Cont, Ekaterina Voltchkova, Mariko Arisawa, Daniel Gabay, Huyen Pham, Peter Tankov
  • 2004
We derive the partial integro-differential equations (PIDEs) verified by the values of European and barrier options in exponential Lévy models. We discuss the conditions under which options prices are classical solutions of the PIDEs. Since these conditions may fail in general, we consider the notion of continuous viscosity solution. We give sufficient(More)
Short-term starvation prior to chemotherapy administration protects mice against toxicity. We undertook dose-escalation of fasting prior to platinum-based chemotherapy to determine safety and feasibility in cancer patients. 3 cohorts fasted before chemotherapy for 24, 48 and 72 h (divided as 48 pre-chemo and 24 post-chemo) and recorded all calories(More)
We are reporting 3 cases of the uterine corpus with collision of endometrioid adenocarcinoma (EAC) with endometrial stromal sarcoma (ESS). The patients' ages ranged from 36 to 59 years old. The major clinical presentation was abnormal uterine bleeding. Microscopically, all 3 cases presented with 2 separate components, EAC Grade 1 and ESS (one low grade and(More)
  • Luciano Campi, Nicolas Langren, Huyen Pham, E Ole, Barndorff-Nielsen
  • 2012
Title: One step towards a high-dimensional probabilistic investment model in electricity generation We present an investment model in electricity generation that takes into account electricity demand, cointegrated fuel prices, carbon price and random outages of power plants. It computes the optimal level of investment in each generation technology,(More)
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