Châu Ngọc Huy

Lecturer, Department of Mathematics, The University of Manchester

1.128, Alan Turing Building, Oxford Rd, Manchester, M13 9PL, UK

Email: huy.chau@manchester.ac.uk

Links:

New updates: 40 Dean’s Doctoral Scholarships 2022/23

PhDs at Manchester

Undergraduate Research Internships for 2022

Teaching

current courses (2021-2022):

MATH37002 Martingales with Applications to Finance 2021-22 2nd Semester

Research Interests:

Financial mathematics, Machine learning, Data Science.

My CV

Preprints and Publications

• 1. On the inversion-free Newton's method and its applications, (with J.L. Kirkby, D.H. Nguyen, D. Nguyen, N. Nguyen, T. Nguyen), 2022.

  2. Super-replication with transaction costs under model uncertainty for continuous processes, (with Masaaki Fukasawa, Miklós Rásonyi), 2021. To appear in Mathematical Finance. [Arxiv]

  3. Robust fundamental theorems of asset pricing in discrete time, 2020. [Arxiv]

  4. On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case, (with Éric Moulines, Miklós Rásonyi, Sotirios Sabanis, Ying Zhang), 2021. SIAM Journal on Mathematics of Data Science. [Arxiv]

  5. Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning, (with Miklós Rásonyi), Stochastic Processes and their Applications 2022. [Arxiv]

  6. Behavioural investors in conic market models, (with Miklós Rásonyi), 2019. To appear in Theory of Probability and its Applications. [Arxiv]

  7. 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]. [Bernoulli].

  8. Robust utility maximization in markets with transaction costs (with Miklós Rásonyi) Finance and Stochastics 2019.

  9. The value of informational arbitrage (with Andrea Cosso and Claudio Fontana), Finance and Stochastics 2020.

  10. On fixed gain recursive estimators with discontinuity in the parameters (with Chaman Kumar, Miklós Rásonyi and Sotirios Sabanis), ESAIM: Probability and Statistics 2019. [Arxiv]

  11. On optimal investment with processes of long or negative memory (with Miklós Rásonyi), Stochastic Processes and their Applications, 2017. [Arxiv]

  12. 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]

  13. Arbitrage and utility maximization in market models with an insider (with Peter Tankov and Wolfgang Runggaldier), Mathematics and Financial Economics. [Arxiv]

  14. 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]

  15. Market models with optimal arbitrage (with Peter Tankov), SIAM Journal on Financial Mathematics, Vol. 6(1), 66-85 (2015). [Arxiv]