PUBLISHED RESEARCH PAPERS

• H. Pham et N. Touzi,  Equilibrium state prices in a stochastic volatility model, 1996, Mathematical Finance, 6, 215-242.

• H. Pham,  Optimal stopping, free boundary and american option in a jump-diffusion model,  1997,  Applied Mathematics and Optimization, 35, 145-164.

• H. Pham, Optimal stopping of controlled jump-diffusion processes : a viscosity solutions approach", 1998,  Journal of Mathematical Systems, Estimation and Control, vol 8, 1, electronic manuscript.

• H. Pham, T. Rheinlander et M. Schweizer, Mean-variance hedging for continuous processes : new proofs and examples, 1998,  Finance and Stochastics, 2, 173-198.

• C. Gourieroux, J.P. Laurent et H. Pham,Mean-variance hedging and numeraire, 1998,  Mathematical Finance, 8, 179-200.

• D. Lamberton, H. Pham et M. Schweizer,  Local risk minimization under transaction costs,  1998,  Mathematics of Operations Research, 23, 585-612. 

•  H. Pham et N. Touzi,  The fundamental theorem of asset pricing with cone constraints,  1999,  Journal of Mathematical Economics, 31, 265-280. 

•  D. Florens et H. Pham, Large deviations in estimation of Poisson random measures,  1998,  Stochastic Processes and their Applications, 76, 117-139.  

• D. Florens et H. Pham, Large deviation principle in nonparametric estimation of marked point processes,  1999,  Statistics and Probability Letters, 41, 383-388.  

• D. Florens et H. Pham,  Large deviations in estimation of an Ornstein-Uhlenbeck model,  1999,  Journal of Applied Probability, 36, 60-77.   

• J. Cvitanic, H. Pham et N. Touzi,Super-replication in stochastic volatility models with portfolio c onstraints,  1999,  Journal of Applied Probability, 36, 523-545.  

• J. Cvitanic, H. Pham et N. Touzi,  A closed form solution for the super-replication problem  under transaction costs,  1999,  Finance and Stochastics, 3, 35-54.  

•  P.F. Koehl, H. Pham et N. Touzi,  Hedging in discrete time under transaction costs and continuous-time limit,  1999,  Journal of Applied Probability, 36, 163-178.  

• J.P. Laurent et H. Pham,  Dynamic programming and mean-variance hedging,  1999,  Finance and Stochastics, 3, 83-110. 

• P.F. Koehl et H. Pham,  Sublinear price functionals under portfolio constraints,  2000, Journal of mathematical Economics, 33, 339-351.  

• P.F. Koehl, H. Pham et N. Touzi,  On super-replication in discrete time under transaction costs,  2000, Theory of Probability and its Applications, 45, 667-673.  

• H. Pham,  Dynamic L^p-hedging in discrete time under cone constraints,  2000, SIAM Journal on Control and Optimization, 38, 665-682.  

• H. Pham,  On Quadratic hedging in continuous time,  2000, Mathematical Methods of Operations Research, 51, 315-339.  

• L. Carassus, H. Pham et N. Touzi,  No Arbitrage in discrete time under portfolio constraints,  2001,  Mathematical Finance, 3, 315-329.  

• H. Pham et M.C. Quenez, Optimal portfolio in partially observed stochastic volatility models,  2001, Annals of Applied Probability, 11, 210-238.  

• H. Pham,  Mean-variance hedging under partial observation,  2001,  International Journal of Theoretical and Applied Finance, 4, 263-284.  

• M . Mnif et H. Pham, Stochastic optimization under constraints,  2001, Stochastic Processes and their Applications, 11, 210-238. 

• G. Deelstra, H. Pham et N. Touzi,  Dual formulation of the utility maximization problem under transaction costs,  2001,  Annals of Applied Probability, 11, 1353-1383.

• H. Pham,  Minimizing shortfall risk and applications to finance and insurance problems,  2002,   Annals of Applied Probability, 12, 143-172.  

• H. Pham, Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints,  2002,  Applied Mathematics and Optimization, 46, 55-78. 

• H. Pham, A risk-sensitive control dual approach to a large deviations control problem,  2003,  Systems and Control Letters, 49, 295-309. 

• H. Pham, A predictable decomposition in an infinite assets model with jumps.  Application to Hedging and optimal investment in infinite assets models with jumps,   2003,  Stochastics and Stochastic Reports, 5, 343-368.  

•  H. Pham, A large deviations approach to optimal long term investment,  2003, [pdf],  Finance and Stochastics, 7, 169-195.   (Best paper Award : Prix Institut Europlace de Finance 2004),  

• G. Pagès, H. Pham et J. Printems, An optimal Markovian  quantization algorithm for multidimensional stochastic control problems,  [ps] 2004.  Stochastics and Dynamics, 4, 501-545. 

•  B. Bouchard et H. Pham,  Wealth-path dependent utility maximization in incomplete markets,  [ps]  2004,  Finance and Stochastics, 4, 579-603   

• G. Pagès, H. Pham, Optimal quantization methods for nonlinear filtering with discrete-time observations,   [pdf],  2005, Bernoulli, vol. 11, 5, 893-932  

• X. Guo et  H. Pham, Optimal partially reversible investment with entry decision and general production function,   [ps], 2005,  Stochastic Processes and their Applications, 115, 705-736.   

• H. Pham, W. Runggaldier et A. Sellami, Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation,  [pdf], 2005,  Monte Carlo Methods and Applications, 11, 57-82 

• B. Bouchard et H. Pham, Optimal consumption in discrete time financial models with industrial investment opportunities and non-linear returns,  [pdf], 2005, Annals of Applied Probability, vol. 15, 4, 2393-2421. 

• E. Gobet, G. Pages and J. Printems,  Discretization and simulation of  Zakai equation,  [pdf],  2006, SIAM Journal on Numerical Analysis, 2006, vol. 44, 2505-2538. 

• H. Pham, On the smooth-fit property for one-dimensional optimal switching problem, [pdf], 2007, Séminaire de Probabilités, vol XL, 187-201.  

• V. Ly Vath, M. Mnif et H. Pham, A model of portfolio selection under liquidity risk and price impact,  [pdf], 2007, Finance and Stochastics, 2007, vol. 11, 51-90.  

•  V. Ly Vath et H. Pham, Explicit solution to an optimal switching problem in the two-regime case,  [pdf], 2007, SIAM Journal on Control and Optimization, 2007, 395-426.

• V. Ly Vath, H. Pham et S. Villeneuve, A mixed singular/switching control problem for a dividend policy with reversible technology investment, [pdf],  Annals of Applied Probability, 2008, 18, 1164-1200.    

•  H. Pham et P. Tankov, A model of optimal consumption under liquidity risk with random trading times, new version [pdf],   Mathematical Finance, 2008, 18, 613-627. 

•  H. Pham et P. Tankov, A coupled system of integrodifferential equations arising in liquidity risk model, [pdf], Applied Mathematics and Optimization, 2009, 59, 147-173.  

• B. Bruder et H. Pham, Impulse control problem on finite horizon with execution delay, [pdf], Stochastic Processes and their Applications, 2009, 119, 1436-1469.

•  H. Pham, V. Ly Vath et X.Y. Zhou, Optimal switching over multiple regimes, [pdf], SIAM Journal on Control and Optimization, 2009, 48, 2217-2253.  

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