Châu Ngọc Huy

Alfréd Rényi Institute of Mathematics
Realtanoda utca 13-15
H-1053 Budapest
Hungary
Email: chau@renyi.hu

Research Interests: Financial mathematics, Machine learning, Data Science. 

(curriculum vitae CV.pdf

Academic Appointments
  • October, 2015 - Now: Postdoctoral Fellow, Alfréd Rényi Institute of Mathematics, Hungary.

Education
  • 2012- 2016: PhD student of cotutelle program, University of Padova and LPMA, University Paris Diderot. 
    Advisors: Prof. Wolfgang J. Runggaldier and Prof. Peter Tankov.
  • April - July 2011: Internship for the master thesis at CMAP, Ecole Polytechnique, Paris, France.
    Advisors: Prof. Peter Tankov and Prof. Mathieu Rosenbaum.
  • 2010 - 2011: Master of Science in Applied Mathematics, University of Orléans, France.
  • 2006 - 2010: B.S in Mathematics and Computer Science, University of Science, Vietnam National University, Vietnam.

Preprints and Publications
  1. On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case (with M. Barkhagen, E. Moulines, M. Rásonyi, S. Sabanis and Y. Zhang)  [Arxiv
  2. Robust utility maximization in markets with transaction costs (with Miklós Rásonyi) [Arxiv
  3. The value of informational arbitrage (with Andrea Cosso and Claudio Fontana) [Arxiv]
  4. On fixed gain recursive estimators with discontinuity in the parameters (with Chaman Kumar, Miklós Rásonyi and Sotirios Sabanis), ESAIM Probability and Statistics, Forthcoming. [Arxiv
  5. On optimal investment with processes of long or negative memory (with Miklós Rásonyi), Stochastic Processes and their Applications, 2017. [Arxiv
  6. Skorohod's representation theorem and optimal strategies for markets with frictions (with Miklós Rásonyi), SIAM Journal on Control and Optimization 55.6 (2017): 3592-3608. [Arxiv
  7. Arbitrage and utility maximization in market models with an insider (with Peter Tankov and Wolfgang Runggaldier), Mathematics and Financial Economics. [Arxiv
  8. Optimal investment with intermediate consumption under no unbounded profit with bounded risk (with Andrea Cosso, Claudio Fontana, and Oleksii Mostovyi), Journal of Applied Probability 54.3 (2017): 710-719. [Arxiv]
  9. Market models with optimal arbitrage (with Peter Tankov), SIAM Journal on Financial Mathematics, Vol. 6(1), 66-85 (2015). [Arxiv