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/

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 5,847

SSRN RANKINGS

Top 5,847

in Total Papers Downloads

7,314

SSRN CITATIONS
Rank 19,829

SSRN RANKINGS

Top 19,829

in Total Papers Citations

10

CROSSREF CITATIONS

28

Scholarly Papers (24)

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
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,197 (16,528)
Citation 11

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
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 1,180 (16,882)
Citation 4

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.

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
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 745 (32,761)
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

4.

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
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 696 (35,983)
Citation 3

Abstract:

Loading...

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

5.

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
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 595 (44,381)

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

6.

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 583 (45,557)
Citation 1

Abstract:

Loading...

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

7.

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
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 521 (52,558)

Abstract:

Loading...

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

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 324 (92,599)

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 207 (146,914)

Abstract:

Loading...

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

10.

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
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 170 (175,809)

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

11.

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 155 (190,157)
Citation 1

Abstract:

Loading...

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

12.

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
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 149 (196,498)

Abstract:

Loading...

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

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 139 (207,846)
Citation 5

Abstract:

Loading...

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

14.

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 130 (219,264)

Abstract:

Loading...

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

15.

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 87 (289,893)

Abstract:

Loading...

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

16.

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 76 (314,423)
Citation 1

Abstract:

Loading...

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

17.

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 69 (331,806)

Abstract:

Loading...

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

18.

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 67 (337,072)
Citation 3

Abstract:

Loading...

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

19.

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 60 (356,587)

Abstract:

Loading...

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

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 48 (395,102)

Abstract:

Loading...

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

21.

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 43 (413,021)
Citation 1

Abstract:

Loading...

Shannon wavelets, dimension reduction, jump diffusions

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 39 (428,420)
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 34 (449,078)
Citation 1

Abstract:

Loading...

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

24.

An Efficient Numerical Partial Differential Equation Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Journal of Computational Finance, Vol. 18, No. 4, Pages 39–93, 2015
Number of pages: 56 Posted: 15 Jun 2016
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and IBM Corporation
Downloads 0 (669,702)
  • Add to Cart

Abstract:

Loading...

Power-Reverse Dual-Currency Swaps, Target Redemption, Knockout, Partial Differential Equation, Finite Differences, Alternating Direction Implicit