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Program Agenda – 23 May 2017
rmi.nus.edu.sg
Chaired by Vathana Ly Vath. (ENSIIE). 4. American and Game Options in Nonlinear Markets. Marek Rutkowski. (University of Sydney). 5.
6th Financial Risks INTERNATIONAL FORUM – LIQUIDITY RISK – Paris,...
risk2013.institutlouisbachelier.org
Vathana LY VATH, Etienne CHEVALIER, Evry University and ENSIIE, Alexandre ROCH, Ecole des Sciences de la Gestion UQAM, Simone SCOTTI, Paris Diderot University, LPMA.
Vathana Ly Vath: Optimal selling time under stochastic liquidity...
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Finance & Stochastics seminar
2015 CMS Winter Meeting
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Vathana Ly Vath (ENSIIE), Liquidity risk and optimal dividend/investment strategies: 10: :30: Stephan Sturm (WPI), Cost effciency in incomplete markets: 16:00 - …
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Journal of Optimization Theory and Applications, Springer | IDEAS ...
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by Etienne Chevalier & M'hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif; Optimization Implementation and Characterization of the Equal Allocation ...
A model of optimal portfolio selection under liquidity risk and price...
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Vathana Ly Vath Mohamed Mnif Huyên Pham Registered author(s): Abstract. No abstract is available for this item. Download Info. If you experience problems …
Dynamic Trading Policies With Price Impact
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Downloadable! In this paper we analyze the optimal policy for a risk averse agent who wants to sell a large block of shares of a risky security in the presence...
Optimal Consumption of a Generalized Geometric Brownian Motion with...
ideas.repec.org
Downloadable! We consider the problem of maximizing expected lifetime utility from consumption of a generalized geometric Brownian motion in the presence of...
Network Profiles
Vathana Ly Vath - Semantic Scholar
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Semantic Scholar profile for Vathana Ly Vath, with fewer than 50 highly influential citations.
Vathana Ly Vath Research Papers | Papers Scholar Library
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Semiconductors with higher carrier mobility and carrier density are required to fabricate a p-n junction diode for high-speed device operation and high- frequency ...
M'hamed Gaïgi - Profil
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A. Liquidity risk and optimal dividend/investment strategies. Etienne Chevalier M' hamed Gaïgi Vathana Ly Vath. MATHEMATICS AND FINANCIAL ECONOMICS, ...
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Mhamed Gaïgi | PhD | École Nationale d'Ingénieurs de Tunis, Tunis ...
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+16. Top co-authors. View All. Vathana Ly Vath. École Nationale Supérieure d' Informatique pour l'Industrie et l'entreprise. Mohamed Mnif. University of Monastir.
Ly Vath, Vathana ( )
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Heritage
Huyên Pham - The Mathematics Genealogy Project
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Vathana Ly Vath: Université Paris Diderot - Paris 7: 2006: Mohamed Mnif: Université Paris Diderot - Paris 7: 2003: Afef Sellami: Université Paris IX ... Mathematics Genealogy Project …
Books & Literature
The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity ...
onlinelibrary.wiley.com
Etienne Chevalier, M'hamed Gaïgi, Vathana Ly Vath, Mohamed Mnif, Optimal Market Dealing Under Constraints, Journal of Optimization ...
Vathana Ly Vath Research Papers
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Semiconductors with higher carrier mobility and carrier density are required to fabricate a p-n junction diode for high-speed device operation and high- frequency ...
Seminar on Stochastic Analysis, Random Fields and Applications VII: ...
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Thomas Lim and Vathana Ly Vath Laboratoire d'Analyse et Probabilités ENSIIE and Université d'Evry 1 square de la Résistance F Evry cedex, France ...
Vathana Ly Vath | XanEdu Customization Platform
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Author: Vathana Ly Vath. Results. A model of optimal portfolio selection under liquidity risk and price impact Springer Science+Business Media
Related Documents
Optimal Execution Cost for Liquidation Through a Limit Order Market ...
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Université de Marne-la-Vallée. Vathana Ly Vath. Université d'Évry. Alexandre F Vathana Ly Vath. Université d'Évry ( email ). Bd. François ...
VATHANA LY VATH, ENSIIE/Université d'Evry Liquidity risk and ...
cms.math.ca
VATHANA LY VATH, ENSIIE/Université d'Evry. Liquidity risk and optimal dividend /investment strategies. In this paper, we study the problem of determining an ...
Connections Between Singular Control and Optimal eScholarship
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[32] Vathana Ly Vath and Huyên Pham, Explicit solution to an optimal switching problem in the two-regime case. Working Paper, Université ...
DESIREE TEOBALDELLI
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Scotti, Simone, Désirée Teobaldelli, Davide Ticchi, Vathana Ly Vath. “Shadow Economies at. Times of Economic Crises.” In progress,
Scientific Publications
Journal of Mathematical Analysis and Applications | Vol 425, Issue
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Optimal exit strategies for investment projects. Original research article: Pages Etienne Chevalier, Vathana Ly Vath, Alexandre Roch, Simone Scotti.
A Mixed Singular/Switching Control Problem for a Dividend jstor
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By Vathana Ly Vath, Huy?n Pham and St?phane Villeneuve. Universit? d'Evry, Universit? Paris 7 and Universit? de Toulouse 1. We consider a mixed stochastic ...
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We study a financial model with one risk-free and one risky asset subject to liquidity risk and price impact. In this market, an investor may transfer funds between ...
Publications
Liquidity risk and optimal dividend/investment strategies - ICASQF
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Vathana LY VATH. Laboratoire de Mathématiques et Modélisation d'Evry. ENSIIE and Université d'Evry. Joint work with E. Chevalier and M.
Chaire Marchés en mutation, Ecole Polytechnique et Université d'Evry ...
www.institutlouisbachelier.org
Michel Zervos, LSE, seminaire Evry collaboration avec Vathana Ly Vath. Michael Larsson (ETH Zurich) seminaire Evry. 7 Encadrement de doctorants et ...
CORE
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A model of optimal portfolio selection under liquidity risk and price impact . By Vathana Ly Vath, Mohamed Mnif and Huyên Pham. Abstract. Portfolio selection, …
EconPapers: A model of optimal portfolio selection under liquidity...
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By Vathana Ly Vath, Mohamed Mnif and Huyên Pham; A model of optimal portfolio selection under liquidity risk and price impact
Reports & Statements
Google Blogs: A mixed singular/switching control problem for a dividend policy ...
Authors: Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve. We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. ...
Bid-ask spread modelling: a perturbation approach | Rismaeka...
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Title Bid-ask spread modelling: a perturbation approach Author Vathana LY VATH, Simone SCOTTI Years November 29, Theoretical Basis An important...
Review Jurnal | Rismaeka Purnamasari
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Pos tentang Review Jurnal yang ditulis oleh Rismaeka
Rismaeka | Rismaeka Purnamasari | Laman 3
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Baca semua pos oleh Rismaeka pada Rismaeka Purnamasari
Miscellaneous
A model of optimal portfolio selection under liquidity risk EBSCOhost
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DOI s A model of optimal portfolio selection under liquidity risk and price impact. Vathana Ly Vath · Mohamed Mnif ·. Huyên Pham.
Bid-ask spread modelling, a perturbation approach
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Bid-ask spread modelling, a perturbation approach. Thomas Lim 1Vathana Ly Vath 2 Jean-Michel Sahut 3 Simone Scotti 1. Détails. 1 LPMA - Laboratoire de ...
Décret du 7 août portant nomination, titularisation et affectation ...
www.legifrance.gouv.fr
M. Vathana LY VATH, École nationale supérieure d'informatique pour l'industrie et l'entreprise. 68e section : Mme Claudia COSIO, université ...
EIFR - Documentation EIFR
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Auteurs: Vathana Ly Vath & Mohamed Mnif & Huyên Pham (2007) Source: Repec. Prudentiel Basel II: A Contracting Perspective. Auteurs: Edward Kane ...
Laboratoire de Probabilités et Modèles Aléatoires - Rechercher
hal.univ-brest.fr
(10); Vathana Ly Vath (10); Zhan Shi (10); Catherine Matias (10); Marie Théret ( 10); Stéphane Boucheron (10); Anne-Laure Basdevant (9); B. Swinyard
Liquidity risk and optimal dividend/investment strategies
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Liquidity risk and optimal dividend/investment strategies. Etienne Chevalier, M' hamed Gaïgi, Vathana Ly Vath · Details · Contributors · Fields of science ...
Liquidity risk and optimal dividend/investment strategies ...
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Journal: Mathematics and Financial Economics > Issue Authors: Etienne Chevalier, M'hamed Gaïgi, Vathana Ly Vath. » Get access to ...
Mathématiques et applications / Mathematics and applications - PDF
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... jury 1/ Period for jury 1 : July / juillet Période jury 2 / Period for jury 2 : September / septembre Vathana Ly Vath - (Responsable) Guillaume Hu - ( Secrétariat).
OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ...
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Search for other articles. By keyword. limit-order books; impulse control; viscosity solutions; variational inequalities; Liquidity risk. By author. VATHANA LY VATH
Optimal dividend and investment policy with debt covenants - Ex Ordo
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Authors. Etienne Chevalier (Evry University); Vathana Ly Vath (ENSIIE); Alexandre Roch (University of Quebec in Montreal) ...
Prépublications de l'Equipe d'Analyse et Probabilités
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A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case (PDF); Etienne Chevalier, Vathana Ly Vath, Simone ...
SIAM Journal on Financial Mathematics
ftp.math.utah.edu
... Pascucci and Candia Riga Adjoint Expansions in Local Lévy Models Etienne Chevalier and Vathana Ly Vath and Simone Scotti An ...
Séminaires - ENIT - LAMSIN
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Vathana Ly Vath de l'université D'Evry-Val-d'Essonne. An Optimal Dividend and Investment Control Problem under Debt Constraints. vendredi 7 octobre
Vatana
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Vathana Huy - bozina
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Vathana Leak - code red
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diego chamorro dossier académique table des matières - Amarun
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Vathana Ly Vath (Enseignant chercheur, ENSIIE). [MATHÉMATIQUES FINANCIÈRES]. Contenu. Description du métier d'analyste de risque ...
members:formerphdstudents [LPSM-Equipe Mathématiques ...
www.lpsm.paris
Vathana LY VATH, ENSIEE Evry (MCF). Clément MENASSE, Quant Cube (Data Scientist). Andreaa MINCA, Cornell University (Assistant PR).
Université d'Évry Val d'Essonne - Département de mathématiques
www.maths.univ-evry.fr
LY VATH Vathana: MCF Evry/ENSIIE: AeP: Maths financières: 412: : MAS-GALLIC Sylvie: PR: AeP: Analyse EDP: 330: : MATIAS Catherine: CR CNRS: SeG: Maths-bio
Laboratoire de Probabilités et Modèles Aléatoires - Rechercher
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hal v1 Pré-publication, Document de travail. Etienne Chevalier, Vathana Ly Vath, Simone Scotti. An Optimal Dividend and Investment Control Problem ...
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