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hal-00207552v1  Chapitre d'ouvrage
H. Pham. Some applications and methods of large deviations in finance and insurance
R.A. Carmona, I. Ekeland & al. Paris-Princeton Lectures on Mathematical Finance 2004, Springer, pp.191-244, 2007, Lecture notes in mathematics n°1919
hal-00104939v1  Chapitre d'ouvrage
G. Pagès, H. Pham, J. Printems. Optimal quantization methods and applications to numerical problems in finance
S.T. Rachev. Handbook of computational and numerical methods in finance, Birkhäuser, pp.253-297, 2004
hal-00401892v1  Ouvrage (y compris édition critique et traduction)
H. Pham. Continuous-time stochastic control and optimization with financial applications
Springer, pp.xvii-232, 2009, Stochastic Modelling and Applied Probability n°61
hal-00290822v1  Article dans une revue
H. Pham, V. Ly Vath, S. Villeneuve. A mixed singular/switching control problem for a dividend policy with reversible technology investment
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2008, 18 (3), pp.1164-1200
hal-01109908v1  Communication dans un congrès
M. Hoffmann, M. Labadie, C.-A. Lehalle, G. Pagès, H. Pham et al.  Optimization and statistical methods for high frequency finance
J.-S. Dhersin. Congrès SMAI 2013, 2013, Seignosse le Penon, France. 45, pp.219-229, 2014, ESAIM: Proceedings and Surveys
hal-00704490v1  Communication dans un congrès
L. Carassus, H. Pham. Portfolio optimization for piecewise criteria functions
Kyoto University. 8th workhop on stochastic numerics, 2008, Japan. pp.81-108, 2009, RIMS Kokyuroku 1620
hal-00704710v1  Article dans une revue
I. Kharroubi, H. Pham. Optimal portfolio liquidation with execution cost and risk
SIAM Journal of Financial Mathematics, 2010, 1, pp.897-931
hal-00704706v1  Communication dans un congrès
M. Bernhart, H. Pham, P. Tankov, X. Warin. Swing options valuation: a BSDE with constrained jumps approach
R. Carmona, P. Del Moral, P. Hu, N. Oudjane. Workshop Numerical methods in Finance, INRIA Bordeaux, 2010, Bordeaux, France. Springer, pp. 379-400, 2012, Springer Proceedings in Mathematics 12
hal-00704713v1  Chapitre d'ouvrage
H. Pham. Investment/consumption choice in illiquid markets with random trading times
H. Albrecher, W.J. Runggaldier, W. Schachermayer. Advanced Financial Modelling, De Gruyter, pp.1-17, 2009, Radon series in computational and applied mathematics n°8
hal-00704707v1  Chapitre d'ouvrage
H. Pham. Optimization problems in finance under partial observation: theoretical and numerical aspects
D. Crisan et B. Rozovski. The Oxford Handbook of nonlinear filtering, Oxford University Press, Chapitre 10:3, 2011, Oxford Handbokks in Mathematics
hal-00017926v1  Article dans une revue
B. Bouchard, H. Pham. Optimal consumption in discrete time financial models with industrial investment opportunities and non-linear returns
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2005, 15 n.4, pp.2393-2421
hal-01261362v1  Article dans une revue
P. Fodra, H. Pham. High frequency trading and asymptotics for small risk aversion in a Markov renewal model
SIAM Journal on Financial Mathematics, SIAM, 2015, 6 (1), pp.656-684
hal-01261386v1  Chapitre d'ouvrage
H. Pham. Long time asymptotics for optimal investment
P.K. Friz, J. Gatheral, A. Jacquier, J. Teichmann. Large deviations and asymptotic methods in finance, 110, Springer, pp.507-528, 2015, Springer Proceedings in Mathematics & Statistics
hal-00539600v1  Chapitre d'ouvrage
H. Pham. Partial Differential Equations
R. Cont. Encyclopedia of Quantitative Finance, John Wiley & Sons, Ltd, Volume 3, pp: 1357-1362, 2010
hal-00168849v1  Chapitre d'ouvrage
H. Pham. On the smooth-fit property for one-dimensional optimal switching problem
C. Donati-Martin, M. Emery, A. Rouault, C. Stricker. Séminaire de probabilités XL, Springer, pp.187-199, 2007, Lecture Notes in Mathematics n°1899
hal-00816013v1  Article dans une revue
Y. Jiao, I. Kharroubi, H. Pham. Optimal investment under multiple defaults risk: a BSDE decomposition approach
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2013, 23 (2), pp.455-491
hal-01164568v1  Article dans une revue
S. Choukroun, A. Cosso, H. Pham. Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Stochastic Processes and their Applications, Elsevier, 2015, 125 (2), pp.597-633
hal-00518134v1  Article dans une revue
H. Pham. Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Stochastic Processes and their Applications, Elsevier, 2010, 120 (9), pp.1795-1820
hal-00392640v1  Article dans une revue
B. Bruder, H. Pham. Impulse control problem on finite horizon with execution delay
Stochastic Processes and their Applications, Elsevier, 2009, 119 (5), pp.1436-1469
hal-00101851v1  Article dans une revue
H. Pham, X. Guo. Optimal partially reversible investment with entry decision and general production function
Stochastic Processes and their Applications, Elsevier, 2005, 115 n.5, pp.705-736
hal-00103449v1  Article dans une revue
G. Pagès, H. Pham, J. Printems. An optimal Markovian quantization algorithm for multidimensional stochastic control problems
Stochastics and Dynamics, World Scientific Publishing, 2004, 4 n.4, pp.501-545
hal-00104795v1  Article dans une revue
H. Pham. A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
Stochastics and Stochastics Reports, Informa UK (Taylor & Francis), 2003, 75 n.5, pp.343-368
hal-00103978v1  Article dans une revue
H. Pham. A risk-sensitive control dual approach to a large deviations control problem
Systems and Control Letters, Elsevier, 2003, 49 n.4, pp.295-309
hal-00714224v1  Article dans une revue
P. Gassiat, H. Pham, I. Kharroubi. Time discretization and quantization methods for optimal multiple switching problem
Stochastic Processes and their Applications, Elsevier, 2012, 122 (5), pp.2019-2052
hal-01172293v1  Article dans une revue
H. Pham. Feynman–Kac representation of Fully Nonlinear PDEs and Applications
Acta Mathematica Vietnamica, Vietnam Academy of Science and Technology, 2015, 40 (2), pp.255-269
hal-01172286v1  Article dans une revue
I. Kharroubi, N. Langrené, H. Pham. Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2015, 25 (4), pp.2301-2338
hal-01172290v1  Article dans une revue
I. Kharroubi, H. Pham. Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE
Annals of Probability, 2015, 43 (4), pp.1823-1865
hal-01172277v1  Article dans une revue
R Aïd, S. Federico, H. Pham, B. Villeneuve. Explicit investment rules with time-to-build and uncertainty
Journal of Economic Dynamics and Control, elsevier, 2015, 51, pp.240-256
hal-01172283v1  Article dans une revue
M. Fuhrman, H. Pham. Randomized and backward SDE representation for optimal control of non-Markovian SDEs
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2015, 25 (4), pp.2134-2167
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