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Miklos Rasonyi
Miklos Rasonyi
Alfred Renyi Institute of Mathematics, Budapest
Verified email at renyi.hu
Title
Cited by
Cited by
Year
Consistent price systems and face-lifting pricing under transaction costs
P Guasoni, M Rásonyi, W Schachermayer
1522008
A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
I Gyöngy, M Rásonyi
Stochastic processes and their applications 121 (10), 2189-2200, 2011
1342011
The fundamental theorem of asset pricing for continuous processes under small transaction costs
P Guasoni, M Rásonyi, W Schachermayer
Annals of Finance 6 (2), 157, 2010
1292010
No-arbitrage criteria for financial markets with efficient friction
Y Kabanov, M Rásonyi, C Stricker
Finance and Stochastics 6, 371-382, 2002
1242002
On utility maximization in discrete-time financial market models
M Rásonyi, L Stettner
882005
The fundamental theorem of asset pricing under transaction costs
P Guasoni, E Lépinette, M Rásonyi
Finance and Stochastics 16, 741-777, 2012
792012
On the closedness of sums of convex cones in and the robust no-arbitrage property
Y Kabanov, M Rásonyi, C Stricker
Finance and Stochastics 7 (3), 403-411, 2003
722003
On stochastic gradient langevin dynamics with dependent data streams: The fully nonconvex case
NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
SIAM Journal on Mathematics of Data Science 3 (3), 959-986, 2021
462021
On optimal investment for a behavioral investor in multiperiod incomplete market models
L Carassus, M Rasonyi
Mathematical Finance 25 (1), 115-153, 2015
402015
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
M Barkhagen, NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
322021
Fragility of arbitrage and bubbles in local martingale diffusion models
P Guasoni, M Rásonyi
Finance and Stochastics 19, 215-231, 2015
322015
Hedging, arbitrage and optimality with superlinear frictions
P Guasoni, M Rásonyi
292015
Arbitrage under transaction costs revisited
M Rásonyi
Optimality and Risk-Modern Trends in Mathematical Finance: The Kabanov …, 2010
272010
Optimal strategies and utility-based prices converge when agents’ preferences do
L Carassus, M Rásonyi
Mathematics of Operations Research 32 (1), 102-117, 2007
272007
Optimal portfolio choice for a behavioural investor in continuous-time markets
M Rásonyi, AM Rodrigues
Annals of Finance 9, 291-318, 2013
252013
Maximization of nonconcave utility functions in discrete-time financial market models
L Carassus, M Rásonyi
Mathematics of Operations Research 41 (1), 146-173, 2016
222016
Trading fractional Brownian motion
P Guasoni, Z Nika, M Rásonyi
SIAM journal on financial mathematics 10 (3), 769-789, 2019
202019
On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
M Rásonyi, L Stettner
From stochastic calculus to mathematical finance, 589-608, 2006
202006
New methods in the arbitrage theory of financial markets with transaction costs
M Rásonyi
Séminaire de Probabilités XLI, 455-462, 2008
192008
Taming neural networks with TUSLA: Non-convex learning via adaptive stochastic gradient Langevin algorithms
A Lovas, I Lytras, M Rásonyi, S Sabanis
arXiv preprint arXiv:2006.14514, 2020
182020
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