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2015 Journal Article An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivativesDang, 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 |
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2015 Journal Article Dimension and variance reduction for Monte Carlo methods for high-dimensional models in financeDang, 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 |
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2015 Conference Publication Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in financeDang, 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 |
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2014 Journal Article Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew modelDang, 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 |
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2014 Journal Article Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approachDang, 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 |
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2013 Conference Publication A highly efficient implementation on clusters of GPUs of PDE-based pricing methods for path-dependent foreign exchange interest rate hybrid derivativesDang, 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 |
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2012 Journal Article An efficient GPU-based parallel algorithm for pricing multi-asset American optionsDang, 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 |
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2011 Journal Article Adaptive and high-order methods for valuing American optionsChristara, Christina C. and Dang, Duy-Minh (2011). Adaptive and high-order methods for valuing American options. Journal of Computational Finance, 14 (4). |
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2010 Journal Article Quadratic spline collocation for one-dimensional linear parabolic partial differential equationsChristara, 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 |
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2010 Conference Publication Pricing of cross-currency interest rate derivatives on graphics processing unitsDang, 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 |
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2010 Conference Publication Pricing multi-asset American options on Graphics Processing Units using a PDE approachDang, 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 |
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2010 Conference Publication A PDE pricing framework for cross-currency interest rate derivatives with target redemption featuresChristara, 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 |
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2009 Journal Article A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in financeDang, 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. |
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2007 Conference Publication Spline collocation for parabolic partial differential equationsChristara, 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. |
