Duy-Minh Dang

University of Queensland - School of Mathematics and Physics

Senior Lecturer

Priestly Building

St Lucia

Brisbane, Queesland 4067

Australia

http://people.smp.uq.edu.au/Duy-MinhDang/

  • University of Queensland - School of Mathematics and Physics

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 10,837

SSRN RANKINGS

Top 10,837

in Total Papers Downloads

9,310

TOTAL CITATIONS
Rank 18,818

SSRN RANKINGS

Top 18,818

in Total Papers Citations

72

Scholarly Papers (23)

Actions:
Email selected abstracts
1.

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Number of pages: 21 Posted: 03 Apr 2010 Last Revised: 02 Jan 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,378 (31,238)
Citation 12

Abstract:

Loading...

Alternating Direction Implicit, ADI, Partial Differential Equation, PDE, Graphics Processing Units, GPUs, parallel computing, finite difference, multi-asset options

2.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

Number of pages: 11 Posted: 10 Nov 2009 Last Revised: 02 May 2010
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 1,299 (34,094)
Citation 6

Abstract:

Loading...

Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation PDE, Alternating Direction Implicit, Generalized Minimal Residual GMRES, Fast Fourier Transform FFT

3.

An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Number of pages: 38 Posted: 26 Mar 2012 Last Revised: 05 May 2013
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 829 (64,378)
Citation 4

Abstract:

Loading...

Power-Reverse Dual-Currency (PRDC) swaps, Target Redemption (TARN), knockout, Partial Differential Equation (PDE), finite differences,non-uniform grids

4.

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Number of pages: 16 Posted: 08 Feb 2010 Last Revised: 26 Feb 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 816 (65,735)
Citation 1

Abstract:

Loading...

Power Reverse Dual Currency (PRDC) Swaps, Bermudan Cancelable, Partial Differential Equation (PDE), Alternating Direction Implicit (ADI), Finite Differences, Graphics Processing Units (GPUs), Parallel Computing

5.

Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units

Number of pages: 8 Posted: 04 Nov 2009 Last Revised: 17 Feb 2010
Duy-Minh Dang
University of Queensland - School of Mathematics and Physics
Downloads 737 (75,212)
Citation 2

Abstract:

Loading...

Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation, Alternating Direction Implicit, finite differences, Graphics Processing Units, parallel computing

6.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features

International Conference of Numerical Analysis and Applied Mathematics, Symposium on Computational Finance, 2010
Number of pages: 4 Posted: 19 Jul 2010
Christina Christara, Duy-Minh Dang, Kenneth R. Jackson and Asif Lakhany
University of Toronto - Department of Computer Science, University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 674 (84,296)

Abstract:

Loading...

Alternating Direction Implicit, ADI, Power Reverse Dual Currency Swap, PRDC

7.

An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options

Number of pages: 15 Posted: 08 Sep 2010 Last Revised: 02 Apr 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 607 (96,362)

Abstract:

Loading...

American Option, Multi-Asset, Penalty Method, Alternating Direction Implicit Approximate Factorization (ADI-AF), time adaptivity, Graphics Processing Units, GPUs, Parallel Computing, Finite Difference

8.

Adaptive and High-Order Methods for Valuing American Options

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 02 May 2010
Christina Christara and Duy-Minh Dang
University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 410 (155,311)
Citation 4

Abstract:

Loading...

Adaptive Mesh Selection, Error Equidistribution, Quadratic Splines, Collocation, Finite Differences, European Option, American Option, Penalty Method

9.

Quadratic Spline Collocation for One-Dimensional Linear Parabolic Partial Differential Equations

Journal of Numerical Algorithms, July 2009
Number of pages: 31 Posted: 04 Oct 2009 Last Revised: 07 Apr 2010
Christina Christara, Tong Chen and Duy-Minh Dang
University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 256 (257,604)
Citation 1

Abstract:

Loading...

Quadratic splines, Collocation, Parabolic PDEs, Crank-Nicolson, Stability, Optimal order of convergence, Adaptivity, American options

10.

Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion: An Numerical Impulse Control Approach

Number of pages: 37 Posted: 03 Apr 2013 Last Revised: 17 Oct 2013
Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics and University of Waterloo - Cheriton School of Computer Science
Downloads 254 (259,690)
Citation 5

Abstract:

Loading...

mean-variance, impulse control, HJB equation, finite difference, viscosity solution

11.

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance

Number of pages: 27 Posted: 21 Jan 2015 Last Revised: 13 Dec 2015
Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 240 (274,610)
Citation 1

Abstract:

Loading...

conditional Monte Carlo, variance reduction, dimension reduction, cross-currency, Fourier transform, partial differential equations

12.

A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives

Number of pages: 17 Posted: 23 Mar 2013 Last Revised: 28 Apr 2013
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 230 (286,398)

Abstract:

Loading...

Power Reverse Dual Currency (PRDC) Swaps, Bermudan Cancelable, Partial Differential Equation (PDE), Alternating Direction Implicit (ADI), Finite Differences, Graphics Processing Units (GPUs), GPU Clusters, MPI, Parallel Computing

13.

Better than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: A Semi-Self-Financing Hamilton-Jacobi-Bellman Equation Approach

Number of pages: 42 Posted: 18 Dec 2013 Last Revised: 04 Jul 2015
Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics and University of Waterloo - Cheriton School of Computer Science
Downloads 225 (292,451)
Citation 17

Abstract:

Loading...

mean-variance, HJB equation, finite difference, viscosity solution, self-financing, continuous re-balancing, discrete re-balancing portfolio allocation

14.

A Shannon Wavelet Method for Pricing Foreign Exchange Options under the Heston Multi-Factor CIR Model

Number of pages: 30 Posted: 09 Sep 2017
Edouard Berthe, Duy-Minh Dang and Luis Ortiz-Gracia
University of Queensland, University of Queensland - School of Mathematics and Physics and University of Barcelona
Downloads 222 (296,239)
Citation 2

Abstract:

Loading...

hybrid Monte Carlo Partial Differential Equation approach, Shannon wavelet, foreign exchange, multi-factor Cox-Ingersoll-Ross, dimension reduction

15.

A Dimension Reduction Shannon Wavelet-Based Method for Option Pricing

Number of pages: 30 Posted: 08 Sep 2017
Duy-Minh Dang and Luis Ortiz-Gracia
University of Queensland - School of Mathematics and Physics and University of Barcelona
Downloads 171 (376,914)
Citation 3

Abstract:

Loading...

Shannon wavelets, dimension reduction, jump diffusions

16.

Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

Number of pages: 30 Posted: 01 Mar 2015 Last Revised: 26 Feb 2018
Duy-Minh Dang, Duy Nguyen and Granville Sewell
University of Queensland - School of Mathematics and Physics, Marist College - Department of Mathematics and University of Texas at El Paso
Downloads 171 (376,914)
Citation 1

Abstract:

Loading...

Asian options, regime-switching, jump-diffusion, system of partial integro-differential equations, parallel computing

17.

Time-Consistent Mean-Variance Portfolio Optimization: A Numerical Impulse Control Approach

Number of pages: 36 Posted: 27 Nov 2017 Last Revised: 29 Aug 2018
Pieter Van Staden, Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics, University of Queensland - School of Mathematics and Physics and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 157 (405,826)
Citation 1

Abstract:

Loading...

Asset Allocation, Constrained Optimal Control, Time-Consistent, Pre-Commitment, Impulse Control

18.

A Dimension and Variance Reduction Monte-Carlo Method for Option Pricing under Jump-Diffusion Models

Number of pages: 35 Posted: 09 Sep 2017
Duy-Minh Dang, Kenneth R. Jackson and Scott Sues
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 155 (410,256)
Citation 2

Abstract:

Loading...

conditional Monte Carlo, variance reduction, dimension reduction, partial-integro~differential~equations, jump diffusions, fast Fourier transform, normal, double-exponential

19.

The 4 percent Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management

Number of pages: 29 Posted: 01 Mar 2015 Last Revised: 06 Sep 2017
Duy-Minh Dang, Peter Forsyth and Ken Vetzal
University of Queensland - School of Mathematics and Physics, University of Waterloo - Cheriton School of Computer Science and University of Waterloo - School of Accounting & Finance
Downloads 118 (510,061)
Citation 4

Abstract:

Loading...

multi-period mean-variance optimal, endowment, pension de-accumulation

20.

Partial Differential Equation Pricing of Contingent Claims Under Stochastic Correlation

SIAM Journal on Scientific Computing, Forthcoming
Number of pages: 32 Posted: 27 Nov 2017 Last Revised: 08 Dec 2017
Nat Leung, Christina Christara and Duy-Minh Dang
University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 96 (592,371)
Citation 1

Abstract:

Loading...

Stochastic Correlation, Option Pricing, Numerical Solution, Asymptotic Solution, Partial Differential Equation

21.

Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling

Number of pages: 28 Posted: 31 Oct 2013 Last Revised: 06 Sep 2017
Duy-Minh Dang, Peter Forsyth and Yuying Li
University of Queensland - School of Mathematics and Physics, University of Waterloo - Cheriton School of Computer Science and University of Waterloo
Downloads 94 (600,339)
Citation 1

Abstract:

Loading...

mean-variance, scalarization optimization, embedding, Pareto optimal, asset-liability, Hamilton-Jacobi-Bellman (HJB) equation, jump diffusion

22.

Multilevel Dimension Reduction Monte-Carlo Simulation for High-Dimensional Stochastic Models in Finance

Number of pages: 10 Posted: 21 Jan 2015 Last Revised: 13 Dec 2015
Duy-Minh Dang, Qifan Xu and Shangzhe Wu
University of Queensland - School of Mathematics and Physics, University of Queensland - Department of Mathematics and University of Queensland - Department of Mathematics
Downloads 86 (634,384)
Citation 2

Abstract:

Loading...

Monte Carlo, multilevel, conditional Monte Carlo, dimension reduction, variance reduction

23.

A Multi-Level Dimension Reduction Monte-Carlo Method for Jump-Diffusion Models

Number of pages: 31 Posted: 01 Mar 2015 Last Revised: 06 Sep 2017
Duy-Minh Dang
University of Queensland - School of Mathematics and Physics
Downloads 85 (638,902)
Citation 2

Abstract:

Loading...

Monte Carlo, variance reduction, dimension reduction, multi-level, jump-diffusions, Lamperti-Backward-Euler, Milstein