Ngoc-Minh Dang

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Within a general abstract framework, we show that any optimal control problem in standard form can be translated into a stochastic target problem as defined in [17], whenever the underlying filtered probability space admits a suitable martingale representation property. This provides a unified way of treating these two classes of stochastic control(More)
Generalized stochastic target problems for pricing and partial hedging under loss constraints-Application in optimal book liquidation Trading issues Outline Generalized stochastic target problem Liquidation problem Conclusion VWAP guaranteed contract VWAP guaranteed contract Liquidation K stocks during [0, T ]. Guarantee a better than δ basis point w.r.t(More)
We propose a general framework for intra-day trading based on the control of trading algorithms. Given a generic parameterized algorithm, we control the dates (τi)i at which it is launched, the length (δi)i of the trading period and the value of the parameters (Ei)i kept during the time interval [τi, τi + δi[. This gives rise to a non-classical impulse(More)
We consider a singular with state constraints version of the stochastic target problems studied in [22], [23] and more recently [6], among others. This provides a general framework for the pricing of contingent claims under risk constraints. Our extended version perfectly suits to market models with proportional transaction costs and to order book(More)
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