|
2025 Journal Article Numerical analysis of American option pricing in a two-asset jump-diffusion modelZhou, Hao and Dang, Duy-Minh (2025). Numerical analysis of American option pricing in a two-asset jump-diffusion model. Applied Numerical Mathematics. |
|
2024 Journal Article Fourier neural network approximation of transition densities in financeDu, Rong and Dang, Duy-Minh (2024). Fourier neural network approximation of transition densities in finance. SIAM Journal on Scientific Computing. |
|
2024 Journal Article A semi-Lagrangian ϵ-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rateLu, Yaowen and Dang, Duy-Minh (2024). A semi-Lagrangian ϵ-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. Numerical Methods for Partial Differential Equations, 40 (3) e23075, 1-50. doi: 10.1002/num.23075 |
|
2024 Journal Article A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion modelsZhang, Hanwen and Dang, Duy-Minh (2024). A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. Mathematics and Computers in Simulation, 219, 112-140. doi: 10.1016/j.matcom.2023.12.011 |
|
2021 Journal Article Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimizationvan Staden, Pieter M., Dang, Duy-Minh and Forsyth, Peter A. (2021). Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization. International Journal of Theoretical and Applied Finance, 24 (05) 2150029, 2150029. doi: 10.1142/S0219024921500291 |
|
2021 Journal Article The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errorsvan Staden, Pieter M., Duy-Minh Dang, and Forsyth, Peter A. (2021). The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. European Journal of Operational Research, 289 (2), 774-792. doi: 10.1016/j.ejor.2020.07.021 |
|
2021 Journal Article On the distribution of terminal wealth under dynamic mean-variance optimal investment strategiesvan Staden, Pieter M., Dang, Duy-Minh and Forsyth, Peter A. (2021). On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Siam Journal On Financial Mathematics, 12 (2), 566-603. doi: 10.1137/20m1338241 |
|
2019 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 |
|
2019 Journal Article A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR modelBerthe, 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 |
|
2018 Journal Article Time-consistent mean-variance portfolio allocation: a numerical impulse control approachvan 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 |
|
2018 Journal Article Pricing American Parisian down-and-out call optionsLe, 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 |
|
2018 Journal Article Partial differential equation pricing of contingent claims under stochastic correlationLeung, 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 |
|
2017 Journal Article A multi-level dimension reduction Monte-Carlo method for jump-diffusion modelsDang, 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 |
|
2017 Journal Article A dimension reduction Shannon-wavelet based method for option pricingDang, 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 |
|
2017 Journal Article A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion modelsDang, 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 |
|
2017 Journal Article A decomposition approach via Fourier sine transform for valuing American knock-out options with time-dependent rebatesLe, 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 |
|
2017 Journal Article The 4% rule revisited: a pre-commitment optimal mean-variance approach in wealth managementDang, 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 |
|
2016 Journal Article Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approachDang, 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 |
|
2016 Journal Article Convergence of the embedded mean-variance optimal points with discrete samplingDang, 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 |
|
2016 Journal Article Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion modelsDang, 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 |
