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personal data approved: 2016. III. 21.
Personal data
Miklós Rásonyi
name Miklós Rásonyi
year of birth 1975
name of institution
doctoral school
BME Doctoral School of Mathematics and Computer Science (Academic staff member)
ELTE Doctoral School of Mathematics (Academic staff member)
PPKE Roska Tamás Doctoral School of Sciences and Technology (Supervisor)
the share of work in the different doctoral schools. BME Doctoral School of Mathematics and Computer Science 33%
ELTE Doctoral School of Mathematics 33%
PPKE Roska Tamás Doctoral School of Sciences and Technology 34%
accreditation statement submitted to: Budapest University of Technology and Economics
Contact details
E-mail address rasonyi.miklositk.ppke.hu
phone number +36 1 279-6190
own web page
Academic title
scientific degree, title Ph.D.
year degree was obtained 2002
discipline to which degree belongs mathematics and computing
institution granting the degree ELTE TTK (to be translated)
Employment
2012 - MTA Rényi Alfréd Matematikai Kutató Intézet (research institute, not university)
other (not specified) (tudományos főmunkatárs)
2003 - PPKE ITK (research institute, not university)
other (not specified) (docens)
Thesis topic supervisor
number of doctoral students supervised until now 3.5
number of students who fulfilled course requirements 1.5
students who obtained their degrees:
Andrea Rodrigues PhD 2014  
(50%) András Horváth PhD 2012  PPCU-RTDS
Le Doux Mbele BIdima Martin PhD 2010  

present PhD students:
(50%) Zsolt Nika (PhD) (2018/08)  PPCU-RTDS
  Thesis topic proposals
Research
research area Probability theory and its applications. Financial mathematics. Arbitrage theory in financial markets. Transaction costs. Large financial markets. Optimal investment. Hidden Markov models.
research field in which current research is conducted mathematics and computing
Publications
2015

Guasoni P, Rásonyi M: Hedging, arbitrage and optimality with superlinear frictions, ANNALS OF APPLIED PROBABILITY 25: (4)
type of document: Journal paper/Article
number of independent citations: 2
language: English
DOI 
2015

Carassus L, Rásonyi M: On optimal investment for a behavioral investor in multiperiod incomplete market Models, MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS 25: (1)
type of document: Journal paper/Article
number of independent citations: 5
language: English
DOI 
2015

Guasoni P, Rásonyi M: Fragility of arbitrage and bubbles in local martingale diffusion models, FINANCE AND STOCHASTICS 19: (2)
type of document: Journal paper/Article
number of independent citations: 7
language: English
DOI 
2013

Rásonyi M, Rodrigues AM: Optimal portfolio choice for a behavioural investor in continuous-time markets, ANNALS OF FINANCE 9: (2)
type of document: Journal paper/Article
number of independent citations: 3
language: English
DOI 
2012

Guasoni P, Lepinette E, Rasonyi M: The fundamental theorem of asset pricing under transaction costs, FINANCE AND STOCHASTICS 16: (4)
type of document: Journal paper/Article
number of independent citations: 11
language: English
DOI 
2011

Gyöngy I, Rásonyi M: A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients, STOCHASTIC PROCESSES AND THEIR APPLICATIONS 121:
type of document: Journal paper/Article
number of independent citations: 8
language: English
DOI 
2010

Guasoni P, Rásonyi M, Schachermayer W: The fundamental theorem of asset pricing for continuous processes under small transaction costs, ANNALS OF FINANCE 6:
type of document: Journal paper/Article
number of independent citations: 15
language: English
DOI 
2010

Rásonyi M: On the statistical analysis of quantized Gaussian AR(1) processes, INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING 6:
type of document: Journal paper/Article
number of independent citations: 1
language: English
DOI 
2008

Guasoni P, Rásonyi M, Schachermayer W: Consistent price systems and face-lifting pricing under transaction costs, ANNALS OF APPLIED PROBABILITY 18: (2)
type of document: Journal paper/Article
number of independent citations: 49
language: English
DOI 
2007

Carassus L, Rásonyi M: Convergence of utility indifference prices to the superreplication price: the wgole real line case., ACTA APPLICANDAE MATHEMATICAE 96:
type of document: Journal paper/Article
number of independent citations: 1
language: English
DOI 
Number of independent citations to these publications:102 
Scientometric data
list of publications and citations
number of scientific publications that meet accreditation criteria:
45
number of scientific publications:
48
monographs and professional books:
0
monographs/books in which chapters/sections were contributed:
0 
number of independent citations to scientific publications and creative works:
267

 
All rights reserved © 2007, Hungarian Doctoral Council. Doctoral Council registration number at commissioner for data protection: 02003/0001. Program version: 1.2318 ( 2016. XI. 26. )