Duy Nguyen

Marist College - Department of Mathematics

SCHOLARLY PAPERS

16

DOWNLOADS

701

SSRN CITATIONS
Rank 13,627

SSRN RANKINGS

Top 13,627

in Total Papers Citations

21

CROSSREF CITATIONS

49

Scholarly Papers (16)

1.

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 133 (226,741)
Citation 1

Abstract:

Loading...

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

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 77 (327,892)
Citation 5

Abstract:

Loading...

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.

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 66 (356,971)

Abstract:

Loading...

Markov Chain, Options Pricing, FFT

4.

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 58 (380,919)

Abstract:

Loading...

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

5.

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 55 (390,865)
Citation 3

Abstract:

Loading...

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

6.

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 55 (390,865)

Abstract:

Loading...

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

7.

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 33 (476,227)
Citation 3

Abstract:

Loading...

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

8.

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 31 (485,796)

Abstract:

Loading...

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

9.

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 30 (490,831)
Citation 5

Abstract:

Loading...

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

10.

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 28 (501,305)
Citation 1

Abstract:

Loading...

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

11.

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 28 (501,305)

Abstract:

Loading...

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

12.

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 27 (506,694)
Citation 3

Abstract:

Loading...

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

13.

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 25 (517,920)
Citation 2

Abstract:

Loading...

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

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 24 (523,836)
Citation 1

Abstract:

Loading...

SABR model, Markov chain, exotic options, calibration

15.

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 20 (547,924)

Abstract:

Loading...

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

16.

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

Number of pages: 11 Posted: 18 Dec 2019
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 11 (605,616)
Citation 1

Abstract:

Loading...

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