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members:vlyvath:welcome

Vathana Ly Vath

Maître de conférences
ENSIIE
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071)
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Bureau 412
+33 (0)1 64 85 34 99
vathana.lyvath@ensiie.fr

Thèmes de recherche

  • Contrôle stochastique et optimisation
  • Mathématiques financières
  • Risque de liquidité
  • Finance d'entreprise et options réelles

Publications

  • Optimal market making strategies under inventory constraints (2016), to appear in J Optim Theory Appl, with E. Chevalier, M. Gaigi, and M. Mnif. Télécharger
  • Liquidity risk and optimal dividend/investment strategies (2016), to appear in Mathematics and Financial Economics, with E. Chevalier and M. Gaigi. Télécharger
  • Optimal execution cost for liquidation through a limit order market (2015), with E. Chevalier, A. Roch and S. Scotti, to appear in International Journal of Theoretical and Applied Finance. Télécharger
  • Numerical approximation for a portfolio optimization problem under liquidity risk and costs (2015), with M. Gaigi, M. Mnif, and S. Toumi, to appear in Applied Mathematics and Optimization. Télécharger
  • Exit Optimal exit strategies for investment projects (2015), with E. Chevalier, A. Roch and S. Scotti, Journal of Mathematical Analysis and Applications, Vol.425(2), pp.666-694. Télécharger
  • An Optimal Dividend and Investment Control Problem under Debt Constraints (2013), with E. Chevalier and S. Scotti, SIAM J. Finan. Math., 4(1), 297 - 326. Télécharger
  • Bid-Ask Spread modelling, a perturbation approach (2011), with T. Lim, JM. Sahut, and S. Scotti, Seminar on Stochastic Analysis, Random Fields and Applications VII.
  • Optimal switching over multiple regimes (2009), with H. Pham and X.Y. Zhou, Siam Journal on Control and Optim., 48, pp. 2217-2253. Télécharger
  • A mixed singular/switching control problem for a dividend policy with reversible technology investment (2008), with H. Pham and S. Villeneuve, Annals of Applied Probability, 18, pp. 1164-1200. Télécharger
  • A Model of Optimal Portfolio Selection under Liquidity Risk and Price Impact (2007), with M. Mnif and H. Pham, Finance and Stochastics, 11, pp. 51-90. Télécharger
  • Explicit solution to an optimal switching problem in the two regime case (2007), with H. Pham, Siam Journal on Control and Optim., 46, pp. 395-426. Télécharger
  • Competitive market equilibrium under asymmetric information (2007), Decisions in Economics and Finance, 30, pp. 79-94.

Mémoire d'HDR

  • Quelques Contributions en Finance Mathématique Risque de Liquidité et Finance d'Entreprise Télécharger

Divers

members/vlyvath/welcome.txt · Last modified: 2017/01/28 23:35 by LY Vathana

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