Dan Zhu

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.
Downloads 1,415 ( 12,772)
Citation 4

First and Second Order Greeks in the Heston Model

Number of pages: 33 Posted: 02 Dec 2010 Last Revised: 05 Sep 2014
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 1,415 (12,516)
Citation 4

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Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation

First- and Second-Order Greeks in the Heston Model

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 52 Posted: 24 Jun 2016
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
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Citation 1
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Heston stochastic volatility, first- and second-order Greeks, algorithmic differentiation, simulation schemes, numerical methods

2.

Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

Number of pages: 33 Posted: 12 Jun 2017 Last Revised: 26 Jul 2017
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 470 (59,908)

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VIX Derivatives, Monte Carlo Simulation, Nested Simulation, VaR, CVA, PFE

3.

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

Number of pages: 28 Posted: 03 May 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 431 (66,563)
Citation 4

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optimal partial proxy, Hessian, Monte Carlo simulation, TARN, Gamma matrix, automatic differentiation

4.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model

Number of pages: 18 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 123 (228,963)
Citation 1

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Monte Carlo, Bermudan Swaption, Cancellable Swap, Greek, Gamma matrix, Automatic-differentiation

5.

The Robust Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital

Number of pages: 28 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 74 (319,539)

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Finite-time Ruin Probability, Monte-Carlo, Sensitivity, Risk Model

6.

An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques

Number of pages: 31 Posted: 28 Aug 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 67 (337,345)
Citation 2

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sensitivitites, Monte Carlo Simulation, queueing theory, Levy processes, rejection sampling

7.

Indirect Inference With a Non-Smooth Criterion Function

Number of pages: 50 Posted: 25 Aug 2018 Last Revised: 09 Jul 2019
Monash Business School, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 57 (365,963)
Citation 1

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Simulation Estimators, Indirect Inference, Discontinuous Objective Functions, Dynamic Discrete Choice Models

8.

Automated Sensitivity Analysis for Bayesian Inference via Markov Chain Monte Carlo: Applications to Gibbs Sampling

Number of pages: 39 Posted: 12 Jun 2017 Last Revised: 09 Feb 2018
University of Melbourne - Faculty of Business and Economics, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 56 (372,287)
Citation 4

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MCMC, Bayesian analysis, sensitivity computations, automatic differentiation

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

CAMA Working Paper No. 25/2018
Number of pages: 25 Posted: 03 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 11 (600,590)

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vector autoregression, automatic differentiation, interval forecasts

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

Number of pages: 23 Posted: 12 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 7 (628,700)
Citation 2

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vector autoregression, automatic differentiation, interval forecasts

10.

Automated Sensitivity Computations for Bayesian Markov Chain Monte Carlo Inference: A New Approach for Prior Robustness and Convergence Analysis

Number of pages: 35 Posted: 28 Mar 2019
University of Melbourne - Faculty of Business and Economics, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 7 (602,266)

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MCMC, Prior Robustness, Convergence, Automatic Differentiation

11.

Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation

CAMA Working Paper No. 46/2019
Number of pages: 24 Posted: 25 Jun 2019
University of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 5 (615,561)
Citation 2

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automatic differentiation, model comparison, vector autoregression, factor models

12.

An Automated Prior Robustness Analysis in Bayesian Model Comparison

CAMA Working Paper No. 45/2019
Number of pages: 28 Posted: 25 Jun 2019
University of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 4 (622,570)

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automatic differentiation, model comparison, vector autoregression, factor models

13.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model

Journal of Computational Finance, Forthcoming
Number of pages: 26 Posted: 21 Jul 2016
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (670,354)
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Abstract:

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Monte Carlo simulation, Bermudan products, exercise strategy, Hessian, measure changes