Miklós Rásonyi - ODT Personal data sheet


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Personal data sheet

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personal data approved: 2023. VI. 02.

Personal data

name	Miklós Rásonyi
name of institution	Budapest University of Technology and Economics Eötvös Loránd University, Budapest Pázmány Péter Catholic University, Budapest
doctoral school	BME Doctoral School of Mathematics and Computer Sciences (Academic staff member Az oktató a doktori iskola doktoranduszai számára oktat tantárgyat, és/vagy a doktori iskola megszavazta, hogy doktoranduszok számára kutatási témát írjon ki. ) ELTE Doctoral School of Mathematics (Supervisor Az oktató valamelyik doktori iskolában egy vagy több doktorandusz vagy doktorjelölt munkáját irányítja. ) PPKE Roska Tamás Doctoral School of Sciences and Technology (Academic staff member Az oktató a doktori iskola doktoranduszai számára oktat tantárgyat, és/vagy a doktori iskola megszavazta, hogy doktoranduszok számára kutatási témát írjon ki. )
the share of work in the different doctoral schools.	BME Doctoral School of Mathematics and Computer Sciences 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
phone number	+36 1 483-8302
	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:

(50%)	Zsolt Nika	PhD	2021	PPCU-RTDS
	Andrea Rodrigues	PhD	2014
(50%)	András Horváth	PhD	2012	PPCU-RTDS
	Le Doux Mbele BIdima Martin	PhD	2010

present PhD students:

(50%)

Iván Ivkovic

(PhD)

(2026/08)

DSM

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

2023

Lovas A., Rásonyi M.: Functional Central Limit Theorem and Strong Law of Large Numbers for Stochastic Gradient Langevin Dynamics, APPLIED MATHEMATICS AND OPTIMIZATION 88: (3) 78
type of document: Journal paper/Article
language: English
URL

2021

Miklós Rásonyi, Andrea Meireles-Rodrigues: On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets, MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS 31: (1) pp. 149-175.
type of document: Journal paper/Article
number of independent citations: 2
language: English
URL

2021

Barkhagen M., Chau N.H., Moulines É., Rásonyi M., Sabanis S., Zhang Y.: On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case, BERNOULLI 27: (1) pp. 1-33.
type of document: Journal paper/Article
number of independent citations: 5
language: English
URL

2019

Chau Huy N., Rásonyi Miklós: Robust utility maximisation in markets with transaction costs, FINANCE AND STOCHASTICS 23: (3) pp. 677-696.
type of document: Journal paper/Article
number of independent citations: 3
language: English
URL

2019

Guasoni Paolo, Nika Zsolt, Rasonyi Miklos: Trading Fractional Brownian Motion, SIAM JOURNAL ON FINANCIAL MATHEMATICS 10: (3) pp. 769-789.
type of document: Journal paper/Article
number of independent citations: 9
language: English
URL

2017

Chau HN, Rásonyi M: Skorohod's representation theorem and optimal strategies for markets with frictions, SIAM JOURNAL ON CONTROL AND OPTIMIZATION 55: (6) pp. 3592-3608.
type of document: Journal paper/Article
number of independent citations: 7
language: English
URL

2016

Carassus L, Rasonyi M: Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models, MATHEMATICS OF OPERATIONS RESEARCH 41: (1) pp. 146-173.
type of document: Journal paper/Article
number of independent citations: 6
language: English
URL

2015

Guasoni P, Rásonyi M: Hedging, arbitrage and optimality with superlinear frictions, ANNALS OF APPLIED PROBABILITY 25: (4) pp. 2066-2095.
type of document: Journal paper/Article
number of independent citations: 11
language: English
URL

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) pp. 115-153.
type of document: Journal paper/Article
number of independent citations: 18
language: English
URL

2008

Guasoni P, Rásonyi M, Schachermayer W: Consistent price systems and face-lifting pricing under transaction costs, ANNALS OF APPLIED PROBABILITY 18: (2) pp. 491-520.
type of document: Journal paper/Article
number of independent citations: 79
language: English
URL

Number of independent citations to these publications:

140

Scientometric data

list of publications and citations

number of scientific publications that meet accreditation criteria:

number of scientific publications:

monographs and professional books:

monographs/books in which chapters/sections were contributed:

number of independent citations to scientific publications and creative works:

613