Dr Duy-Minh Dang

Senior Lecturer

Mathematics
Faculty of Science
duyminh.dang@uq.edu.au
+61 7 336 52686

Overview

Publications

View all Publications

Supervision

  • Doctor Philosophy

  • Doctor Philosophy

View all Supervision

Publications

Journal Article

Conference Publication

  • 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

  • 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

  • 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

  • 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

  • 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.

PhD and MPhil Supervision

Current Supervision

  • Doctor Philosophy — Principal Advisor

  • Doctor Philosophy — Principal Advisor