Duy Nguyen

Marist College - Department of Mathematics

SCHOLARLY PAPERS

26

DOWNLOADS
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2,002

SSRN CITATIONS
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Top 9,681

in Total Papers Citations

83

CROSSREF CITATIONS

49

Scholarly Papers (26)

1.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 531 (65,571)

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Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston

2.

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Number of pages: 44 Posted: 09 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 239 (159,409)
Citation 11

Abstract:

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SABR, stochastic local volatility, quadratic local volatility, continuous-time Markov Chains, exotic options, American options, Asian options, option pricing, CTMC, occupation time derivatives, barrier options

3.

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
University of Queensland - School of Mathematics and Physics, Marist College - Department of Mathematics and University of Texas at El Paso
Downloads 136 (261,472)
Citation 1

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

4.

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Number of pages: 32 Posted: 28 Jan 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 116 (294,000)
Citation 1

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Markov Chain, Options Pricing, FFT

5.

Moments of Student's t-distribution: A Unified Approach

Number of pages: 11 Posted: 18 Dec 2019 Last Revised: 28 Jan 2021
Justin Kirkby, Dang Nguyen and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Alabama and Marist College - Department of Mathematics
Downloads 96 (334,126)
Citation 1

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Normal distribution, Student's t-distribution, Moment, Raw Moment, Absolute Moment, Multivariate

6.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 68 (409,263)
Citation 3

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nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator

7.

Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

Number of pages: 49 Posted: 11 Sep 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 66 (415,744)

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Simulation; SABR; stochastic local volatility; Markov chain; stochastic differential equation; finance

8.

First Hitting Time of Integral Diffusions and Applications

Number of pages: 16 Posted: 27 Feb 2017
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 65 (418,993)
Citation 4

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First Hitting Time, Asian Options, Volatility Derivative, Stochastic Time Change, Laplace Transform

9.

An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies

Number of pages: 43 Posted: 27 May 2020
Justin Kirkby, Mitra Sovan and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), affiliation not provided to SSRN and Marist College - Department of Mathematics
Downloads 63 (429,177)
Citation 3

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10.

Omega Diffusion Risk Model with Surplus-Dependent Tax and Capital Injections

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 14 Mar 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 60 (436,212)
Citation 2

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Time-homogeneous diffusion, Az'ema-Yor process; occupation time, risk model with tax, Omega risk model, reflected diffusion

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

Annals of Finance, Forthcoming
Number of pages: 39 Posted: 08 May 2020
Justin Kirkby and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 38 (539,240)

Abstract:

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Asian option, jump diffusion, stochastic volatility, regime switching, fourier, exotic option, markov chain

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

Number of pages: 39 Posted: 14 May 2020
Justin Kirkby and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 21 (648,581)
Citation 2

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12.

Density of Generalized Verhulst Process and Bessel Process with Constant Drift

Number of pages: 12 Posted: 08 Apr 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 59 (439,719)

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Verhulst process, Exponential change of measure, geometric Brownian motion, Bessel process with constant drift

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 31 Jul 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 24 (626,162)

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 01 Aug 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 21 (648,581)
Citation 3

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

14.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 44 (499,463)
Citation 2

Abstract:

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SABR model, Markov chain, exotic options, calibration

15.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 44 (499,463)
Citation 12

Abstract:

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variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance

16.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 40 (517,843)
Citation 8

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Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion

17.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 38 (527,549)
Citation 8

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Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options

18.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Justin Kirkby, Duy Nguyen and Zhenyu Cui
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 38 (527,549)
Citation 6

Abstract:

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American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection

19.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 33 (553,313)

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integral transform, inverse transform method, orthogonal polynomial, sampling

20.

An Integral Representation for Elasticity and Sensitivity for Stochastic Volatility Models

Number of pages: 25 Posted: 12 Oct 2017
Zhenyu Cui, Duy Nguyen and Hyungbin Park
Stevens Institute of Technology - School of Business, Marist College - Department of Mathematics and Seoul National University
Downloads 31 (564,233)

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Sensitivity, elasticity, growth-rate risk, quantile, Greeks, exponential measure change, stochastic volatility models.

21.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
Downloads 30 (569,955)
Citation 4

Abstract:

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stochastic volatility, exact probability density,implied volatility, timer option

22.

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Number of pages: 49 Posted: 02 Nov 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 29 (575,821)
Citation 3

Abstract:

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Simulation, SABR, stochastic local volatility, Markov chain

23.

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model

Number of pages: 20 Posted: 21 Dec 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 21 (628,285)
Citation 2

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Time-homogeneous diffusion, generalized drawdown process,drawdown, Laplace transform, Doob-Meyer decomposition

24.

Equity-Linked Guaranteed Minimum Death Benefits with Dollar Cost Averaging

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 41 Posted: 26 Apr 2021
Justin Kirkby and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 18 (649,580)

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GMDB, GMxB, Equity-Linked, Annuity, dollar cost averaging, Levy, Asian Option, Guaranteed Minimum Death Benefit

25.

Nonparametric Density Estimation and Bandwidth Selection with B-spline bases: a Novel Galerkin Method

Number of pages: 37 Posted: 12 Mar 2021
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Coruña - Department of Mathematics - M2NICA and Marist College - Department of Mathematics
Downloads 17 (656,735)

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nonparametric density estimation, spline, bandwidth, kernel, basis, cross validation

26.

A General Continuous Time Markov Chain Approximation for Multi-Asset Option Pricing With Systems of Correlated Diffusions

Number of pages: 29 Posted: 11 Jul 2020
Justin Kirkby, Dang Nguyen and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Alabama and Marist College - Department of Mathematics
Downloads 16 (663,934)
Citation 1

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