Journal Article: A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
Berthe, Edouard, Dang, Duy-Minh and Ortiz-Gracia, Luis (2018) A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model. Applied Numerical Mathematics, .
Journal Article: Time-consistent mean-variance portfolio allocation: a numerical impulse control approach
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2018) Time-consistent mean-variance portfolio allocation: a numerical impulse control approach. Insurance: Mathematics and Economics, 9-28. doi:10.1016/j.insmatheco.2018.08.003
Journal Article: Pricing American Parisian down-and-out call options
Le, Nhat-Tan, Lu, Xiaoping, Zhu, Song-Ping and Dang, Duy-Minh (2018) Pricing American Parisian down-and-out call options. Applied Mathematics and Computation, 305 330-347. doi:10.1016/j.amc.2017.02.015
(2015) UQ Early Career Researcher
Advanced numerical methods for computing total valuation adjustments in finance
Doctor Philosophy
Numerical Methods for Guaranteed Minimum Benefits (GMxB) as an Impulse Control Problem
Doctor Philosophy
Numerical methods for mean-risk portfolio optimisation
Doctor Philosophy
Berthe, Edouard, Dang, Duy-Minh and Ortiz-Gracia, Luis (2018) A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model. Applied Numerical Mathematics, .
Time-consistent mean-variance portfolio allocation: a numerical impulse control approach
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2018) Time-consistent mean-variance portfolio allocation: a numerical impulse control approach. Insurance: Mathematics and Economics, 9-28. doi:10.1016/j.insmatheco.2018.08.003
Pricing American Parisian down-and-out call options
Le, Nhat-Tan, Lu, Xiaoping, Zhu, Song-Ping and Dang, Duy-Minh (2018) Pricing American Parisian down-and-out call options. Applied Mathematics and Computation, 305 330-347. doi:10.1016/j.amc.2017.02.015
Partial differential equation pricing of contingent claims under stochastic correlation
Leung, Nat Chun-Ho, Christara, Christina C. and Dang, Duy-Minh (2018) Partial differential equation pricing of contingent claims under stochastic correlation. SIAM Journal on Scientific Computing, 40 1: B1-B31. doi:10.1137/16M1099017
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
Dang, Duy-Minh (2017) A multi-level dimension reduction Monte-Carlo method for jump-diffusion models. Journal of Computational and Applied Mathematics, 324 49-71. doi:10.1016/j.cam.2017.04.014
A dimension reduction Shannon-wavelet based method for option pricing
Dang, Duy-Minh and Ortiz-Gracia, Luis (2017) A dimension reduction Shannon-wavelet based method for option pricing. Journal of Scientific Computing, . doi:10.1007/s10915-017-0556-y
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy-Minh, Jackson, Kenneth R. and Sues, Scott (2017) A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models. Applied Mathematical Finance, . doi:10.1080/1350486X.2017.1358646
Le, Nhat-Tan, Dang, Duy-Minh and Khanh, Tran-Vu (2017) A decomposition approach via Fourier sine transform for valuing American knock-out options with time-dependent rebates. Journal of Computational and Applied Mathematics, 317 652-671. doi:10.1016/j.cam.2016.12.030
The 4% rule revisited: a pre-commitment optimal mean-variance approach in wealth management
Dang, Duy-Minh, Forsyth, Peter and Vetzal, Ken (2017) The 4% rule revisited: a pre-commitment optimal mean-variance approach in wealth management. Quantitative Finance, 17 3: 335-351. doi:10.1080/14697688.2016.1205211
Dang, Duy-Minh and Forsyth, Peter (2016) Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approach. European Journal of Operational Research, 250 3: 827-841. doi:10.1016/j.ejor.2015.10.015
Convergence of the embedded mean-variance optimal points with discrete sampling
Dang, Duy-Minh, Forsyth, Peter A. and Li, Yuying (2016) Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik, 132 2: 271-302. doi:10.1007/s00211-015-0723-8
Dang, Duy-Minh, Nguyen, Duy and Sewell, Granville (2016) Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. Computers and Mathematics with Applications, 71 1: 443-458. doi:10.1016/j.camwa.2015.12.017
Dang, Duy-Minh, Christara, Christina C., Jackson, Kenneth R. and Lakhany, Asif (2015) An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives. Journal of Computational Finance, 18 4: 1-55. doi:10.21314/JCF.2015.303
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy-Minh, Jackson, Kenneth R. and Mohammadi, Mohammadreza (2015) Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance. Applied Mathematical Finance, 22 6: 522-552. doi:10.1080/1350486X.2015.1110492
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2014) Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurrency and Computation: Practice and Experience, 26 9: 1609-1625. doi:10.1002/cpe.2824
Dang, Duy-Minh and Forsyth, Peter A. (2014) Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. Numerical Methods for Partial Differential Equations, 30 2: 664-698. doi:10.1002/num.21836
An efficient GPU-based parallel algorithm for pricing multi-asset American options
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2012) An efficient GPU-based parallel algorithm for pricing multi-asset American options. Concurrency and Computation: Practice and Experience, 24 8: 849-866. doi:10.1002/cpe.1784
Adaptive and high-order methods for valuing American options
Christara, Christina C. and Dang, Duy-Minh (2011) Adaptive and high-order methods for valuing American options. Journal of Computational Finance, 14 4: .
Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
Christara, Christina C., Chen, Tong and Dang, Duy-Minh (2010) Quadratic spline collocation for one-dimensional linear parabolic partial differential equations. Numerical Algorithms, 53 4: 511-553. doi:10.1007/s11075-009-9317-9
Dang, Duy-Minh, Christara, C. C. and Jackson, K. R. (2009) A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance. Canadian Applied Mathematics Quarterly, 17 4: 627-659.
Dang, Duy-Minh, Xu, Qifan and Wu, Shangzhe (2015). Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in finance. In: International Conference On Computational Science, ICCS 2015 — Computational Science at the Gates of Nature. International Conference On Computational Science, ICCS 2015, Reykjavik, Iceland, (1583-1592). 1-3 June 2015. doi:10.1016/j.procs.2015.05.289
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2013). A highly efficient implementation on clusters of GPUs of PDE-based pricing methods for path-dependent foreign exchange interest rate hybrid derivatives. In: Beniamino Murgante, Sanjay Misra, Maurizio Carlini, Carmelo M. Torre, Hong-Quang Nguyen, David Taniar, Bernady O. Apduhan and Osvaldo Gervasi, Computational Science and Its Applications: ICCSA 2013. 13th International Conference: Proceedings. ICCSA 2013: The 13th International Conference on Computational Science and its Applications, Ho Chi Minh City, Vietnam, (107-126). 24-27 June, 2013. doi:10.1007/978-3-642-39640-3_8
A PDE pricing framework for cross-currency interest rate derivatives with target redemption features
Christara, Christina C., Dang, Duy-Minh, Jackson, Kenneth R. and Lakhany, Asif (2010). A PDE pricing framework for cross-currency interest rate derivatives with target redemption features. In: Theodore E. Simos, George Psihoyios and Ch. Tsitouras, Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2010, ICNAAM 2010. ICNAAM 2010: International Conference on Numerical Analysis and Applied Mathematics 2010, Rhodes, Greece, (330-333). 19 - 25 September 2010. doi:10.1063/1.3498467
Pricing multi-asset American options on Graphics Processing Units using a PDE approach
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2010). Pricing multi-asset American options on Graphics Processing Units using a PDE approach. In: Matthew Dixon , David Daly, Maria Eleftheriou , Jose Moreira and Kyung Ryu , Proceedings of the 3rd Workshop on High Performance Computational Finance, WHPCF 2010. 3rd Workshop on High Performance Computational Finance, WHPCF 2010, New Orleans, LA United States, (). 14 November 2010. doi:10.1109/WHPCF.2010.5671831
Pricing of cross-currency interest rate derivatives on graphics processing units
Dang, Duy-Minh (2010). Pricing of cross-currency interest rate derivatives on graphics processing units. In: Proceedings of the 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010. 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010, Atlanta, GA United States, (). 19 - 23 April 2010. doi:10.1109/IPDPSW.2010.5470708
Spline collocation for parabolic partial differential equations
Christara, Christina C., Chen, Tong and Dang, Duy-Minh (2007). Spline collocation for parabolic partial differential equations. In: Conference in Numerical Analysis (NumAn 2007). Recent Approaches to Numerical Analysis: Theory, Methods and Applications. Proceedings. NumAn 2007: Conference in Numerical Analysis, Kalamata, Greece, (46-51). 3-7 September, 2007.
(2015) UQ Early Career Researcher
Advanced numerical methods for computing total valuation adjustments in finance
Doctor Philosophy — Principal Advisor
Numerical Methods for Guaranteed Minimum Benefits (GMxB) as an Impulse Control Problem
Doctor Philosophy — Principal Advisor
Numerical methods for mean-risk portfolio optimisation
Doctor Philosophy — Principal Advisor
A Monte Carlo and FFT Method for European Option Pricing Under Jump-Diffusion Models
Doctor Philosophy — Associate Advisor
Other advisors: