Journal Article: Mean-Quadratic Variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization?
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2019). Mean-Quadratic Variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization?. SIAM Journal on Financial Mathematics, 10 (3), 815-856. doi: 10.1137/18M1222570
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 (2019). A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model. Applied Numerical Mathematics, 136, 1-22. doi: 10.1016/j.apnum.2018.09.013
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, 83, 9-28. doi: 10.1016/j.insmatheco.2018.08.003
(2015) UQ Early Career Researcher
A data-driven neural network approach for stochastic control problems in finance
Doctor Philosophy
Numerical methods for multi-dimensional portfolio optimisation
Doctor Philosophy
Numerical methods for mean-risk portfolio optimization
(2020) Doctor Philosophy
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2019). Mean-Quadratic Variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization?. SIAM Journal on Financial Mathematics, 10 (3), 815-856. doi: 10.1137/18M1222570
Berthe, Edouard, Dang, Duy-Minh and Ortiz-Gracia, Luis (2019). A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model. Applied Numerical Mathematics, 136, 1-22. doi: 10.1016/j.apnum.2018.09.013
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, 83, 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, 75 (2), 1-29. 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, 24 (3), 1-41. 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. International Conference On Computational Science, ICCS 2015, Reykjavik, Iceland, 1-3 June 2015. Amsterdam, Netherlands: Elsevier. 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. ICCSA 2013: The 13th International Conference on Computational Science and its Applications, Ho Chi Minh City, Vietnam, 24-27 June, 2013. Heidelberg, Germany: Springer. 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. ICNAAM 2010: International Conference on Numerical Analysis and Applied Mathematics 2010, Rhodes, Greece, 19 - 25 September 2010. College Park, MD United States: American Institute of Physics. 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. 3rd Workshop on High Performance Computational Finance, WHPCF 2010, New Orleans, LA United States, 14 November 2010. Piscataway, NJ United States: I E E E. 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. 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010, Atlanta, GA United States, 19 - 23 April 2010. Piscataway, NJ United States: I E E E. 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. NumAn 2007: Conference in Numerical Analysis, Kalamata, Greece, 3-7 September, 2007. Patras, Greece: Department of Mathematics, University of Patras.
(2015) UQ Early Career Researcher
A data-driven neural network approach for stochastic control problems in finance
Doctor Philosophy — Principal Advisor
Other advisors:
Numerical methods for multi-dimensional portfolio optimisation
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 optimization
(2020) Doctor Philosophy — Principal Advisor
The effect of dividend imputation tax credits on market equilibrium
(2020) Doctor Philosophy — Associate Advisor
Other advisors: