Arash Fahim

Publication Activity (10 Years)

Years Active: 2011-2018
Publications (10 Years): 2

Top Topics

Numerical Scheme

Finite Difference

Graphical Models

Transaction Costs

Top Venues

Finance Stochastics

J. Comput. Appl. Math.

Publications

Wan-Yu Tsai, Arash Fahim
A numerical scheme for a singular control problem: Investment-consumption under proportional transaction costs. J. Comput. Appl. Math. 333 (2018)
Arash Fahim, Yu-Jui Huang
Model-independent superhedging under portfolio constraints. Finance Stochastics 20 (1) (2016)
Erhan Bayraktar, Arash Fahim
A Stochastic Approximation for Fully Nonlinear Free Boundary Problems CoRR (2011)