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Huyên Pham

  1. Investment/consumption problem in illiquid markets with regimes switching.

    Fri, 07/22/2011 - 15:01 — SomNambul
    Authors: Huyên Pham, Paul Gassiat, Fausto Gozzi
    Subjects: Portfolio Management
    Abstract

    We consider an illiquid financial market with different regimes modeled by a
    continuous-time finite-state Markov chain. The investor can trade a stock only
    at the discrete arrival times of a Cox process with intensity depending on the
    market regime. Moreover, the risky asset price is subject to liquidity shocks,
    which change its rate of return and volatility, and induce jumps on its
    dynamics. In this setting, we study the problem of an economic agent optimizing
    her expected utility from consumption under a non-bankruptcy constraint.

  2. Swing Options Valuation: a BSDE with Constrained Jumps Approach.

    Thu, 01/06/2011 - 16:01 — SomNambul
    Authors: Peter Tankov, Huyên Pham, Marie Bernhart, Xavier Warin
    Subjects: Computational Finance
    Abstract

    We introduce a new probabilistic method for solving a class of impulse
    control problems based on their representations as Backward Stochastic
    Differential Equations (BSDEs for short) with constrained jumps. As an example,
    our method is used for pricing Swing options. We deal with the jump constraint
    by a penalization procedure and apply a discrete-time backward scheme to the
    resulting penalized BSDE with jumps.

  3. Numerical methods for an optimal order execution problem.

    Mon, 06/07/2010 - 15:02 — SomNambul
    Authors: Fabien Guilbaud, Mohamed Mnif, Huyên Pham
    Subjects: Computational Finance
    Abstract

    This paper deals with numerical solutions to an impulse control problem
    arising from optimal portfolio liquidation with bid-ask spread and market price
    impact penalizing speedy execution trades. The corresponding dynamic
    programming (DP) equation is a quasi-variational inequality (QVI) with solvency
    constraint satisfied by the value function in the sense of constrained
    viscosity solutions. By taking advantage of the lag variable tracking the time
    interval between trades, we can provide an explicit backward numerical scheme
    for the time discretization of the DPQVI.

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