- T. Nguyen and Mitja Stadje. Non-concave optimal investment with VaR constraint: an application to life insurance contracts, SIAM Journal on Control and Optimization 58(2):895-936, 2020.
- Chen, Hieber P., and T. Nguyen. Constrained non-concave utility maximization: an application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3):1119–1135, 2019
- T. Nguyen and S. Pergamenshchikov. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. SIAM Theory of Probability and its Applications, 2019. Accepted.
- Chen, T. Nguyen, and M. Stadje. Optimal investment under var-regulation and minimum insurance. Insurance: Mathematics and Economics, 79:194–209, 2018.
- Chen, T. Nguyen, and M. Stadje. Risk management with multiple VaR constraints. Mathematical Methods of Operational Research, 88:297–337, 2018.
- T. Nguyen and S. Pergamenshchikov. Approximate hedging problem with transaction costs in stochastic volatility markets. Mathematical Finance, 27(3):932–865, 2017.
- T. V. Nguyen, D. A. To, D.T Duong, and T. Nguyen. Spectral representation of multiply self-decomposable stochastic processes and applications. In P.J. Akahori, S. Ogawa, and Watanabe S., editors, Proceedings of the 6th Ritsumeikan International Symposium Stochastic Processes and Applications to Mathematical Finance, pages 245–258. World Scientific, 2006.
Travaux en cours ou soumis
- T. Nguyen, and An Chen and Manuel Rach. Optimal collective investment: The impact of sharing rules, management fees and guarantees.
- T. Nguyen, and Mitja Stadje. Forward BSDEs and backward SPDEs for utility maximization under endogeneous pricing.
- T. Nguyen, and Mitja Stadje and Christian Dehm. Non-concave expected utility optimization when investment horizon is uncertain.
- T. Nguyen, and An Chen. Optimal investment under weighted limited expected loss constraint.
- T. Nguyen, and Masaaki Fukasawa. Asymptotic hedging of European convex payoff with increasing volatility under proportional transaction costs.
- T. Nguyen, and An Chen and Nils Sorensen. Indifference pricing under SAHARA utility.
- T. Nguyen, and Sebastian Geissel. Collective optimal expected utility risk measures.
- T. Nguyen, and Duy Nguyen. Approximate hedging with transaction cost under regime switching models.
- T. Nguyen, and An Chen and Manuel Rach. Optimal collective investment under portfolio insurance in a stochastic volatility framework.
- T. Nguyen, and An Chen and Tim Boonen. Arrow-Debreu equilibria with regret.
- T. Nguyen, and An Chen and Thorsten Sehner. Unit-linked tontine products : designs and utility-based analysis.