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Min Dai

National University of Singapore (NUS) - Department of Mathematics

Singapore

  • National University of Singapore (NUS) - Department of Mathematics

SCHOLARLY PAPERS

49

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101

Scholarly Papers (49)

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1.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,752 (2,763)
Citation 1

Abstract:

trend following trading rule, bull-bear switching model, partial information, HJB equations

2.

Optimal Trend Following Trading Rules

Number of pages: 20 Posted: 27 Jun 2010 Last Revised: 12 Jun 2015
Min Dai, Zhou Yang, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 944 (13,147)
Citation 1

Abstract:

3.

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Downloads 720 ( 28,104)
Citation 13

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
Min Dai, Yue Kuen Kwok and Jianping Zong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 718 (27,758)
Citation 13

Abstract:

guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Mathematical Finance, Vol. 18, Issue 4, pp. 595-611, October 2008
Number of pages: 17 Posted: 19 Sep 2008
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and affiliation not provided to SSRN
Downloads 2 (567,844)
Citation 13
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Abstract:

4.

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Number of pages: 15 Posted: 08 Feb 2010 Last Revised: 07 May 2010
Min Dai, Yifei Zhong and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 441 (45,062)

Abstract:

index arbitrage, optimal stopping, transaction costs, position limits

5.

Convergence of Binomial Tree Method for European/American Path-dependent Options

SIAM Journal on Numerical Analysis, Vol. 42, No. 3, pp. 1094-1109, 2004
Number of pages: 20 Posted: 21 Feb 2005
Lishang Jiang and Min Dai
Tongji University - Institute of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 407 (57,694)
Citation 8

Abstract:

Binomial tree method, European/American path-dependent options, convergence

6.

American Options with Lookback Payoff

Number of pages: 22 Posted: 09 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 390 (60,771)
Citation 4

Abstract:

Lookback options, American feature, free boundary value problems

7.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 332 (61,497)
Citation 3

Abstract:

Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)

8.

Illiquidity, Portfolio Constraints, and Diversification

Number of pages: 44 Posted: 21 Mar 2008
Hong Liu, Min Dai and Hanqing Jin
Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 288 (84,261)
Citation 1

Abstract:

Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

9.

A Closed-form Solution for Perpetual American Floating Strike Lookback Options

Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001
Number of pages: 8 Posted: 21 Feb 2005
Min Dai
National University of Singapore (NUS) - Department of Mathematics
Downloads 280 (85,567)

Abstract:

Perpetual American lookback options, closed-form solution, floating strike

10.

Convergence Analysis of Binomial Tree Method for American-Type Path-Dependent Options

FREE BOUNDARY PROBLEMS: THEORY AND APPLICATIONS, pp. 153-166, Chiba, 1999
Number of pages: 14 Posted: 04 May 2006 Last Revised: 09 Feb 2009
Min Dai and Lishang Jiang
National University of Singapore (NUS) - Department of Mathematics and Tongji University - Institute of Mathematics
Downloads 244 (103,271)
Citation 3

Abstract:

Path-dependent options, binomial tree method, forward shooting grid method, convergence analysis

11.

Optimal Stock Selling/Buying Strategy with Reference to the Ultimate Average

Number of pages: 16 Posted: 28 Jul 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 216 (115,563)
Citation 2

Abstract:

optimal strategy, average price, optimal stopping problem, variational inequality

12.

Optimal Policies of Call with Notice Period Requirement for Callable American Warrants and Convertible Bonds

Number of pages: 44 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 213 (112,052)
Citation 4

Abstract:

American warrant, convertible bond, notice period requirement, callable feature

13.

Leverage Management in a Bull-Bear Switching Market

UIC College of Business Administration Research Paper No. 10-08
Number of pages: 27 Posted: 17 Mar 2010
Min Dai, Zhou Yang and Hefei Wang
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math and University of Illinois at Chicago - Department of Finance
Downloads 200 (112,052)
Citation 2

Abstract:

14.

Pricing Jump Risk with Utility Indifference

Number of pages: 34 Posted: 21 Feb 2005
Lixin Wu and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 200 (123,801)
Citation 2

Abstract:

Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation

15.

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Downloads 191 (132,842)
Citation 1

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 102 (222,682)
Citation 1

Abstract:

Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 28 May 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 89 (244,183)
Citation 1

Abstract:

Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

16.

Calibration of Stochastic Volatility Models: An Optimal Control Approach

Number of pages: 26 Posted: 21 Oct 2012
Min Dai, Ling Tang and Xingye Yue
National University of Singapore (NUS) - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 181 (82,006)

Abstract:

calibration, stochastic volatility model, option prices, optimal control, inverse problem

17.

One-State Variable Binomial Models for European-/American-Style Geometric Asian Options

Quantitative Finance, Vol. 3, No. 4, pp. 288-295, 2003
Number of pages: 16 Posted: 21 Feb 2005
Min Dai
National University of Singapore (NUS) - Department of Mathematics
Downloads 167 (146,232)

Abstract:

Asian options, geometric average, one-state variable binomial model

18.

Optimal Multiple Stopping Models of Reload Options and Shout Options

Number of pages: 22 Posted: 09 May 2005 Last Revised: 12 Dec 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 162 (150,874)
Citation 4

Abstract:

employee stock options, reload feature, shout call, multiple optimal stopping, lookback options

19.

Penalty Methods for Continuous-Time Portfolio Selection with Proportional Transaction Costs

Number of pages: 25 Posted: 07 Aug 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 149 (143,206)
Citation 4

Abstract:

20.

Characterization of Optimal Stopping Regions of American Path Dependent Options

Number of pages: 33 Posted: 03 Jan 2005
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 149 (162,778)
Citation 1

Abstract:

American options, optimal stopping, Asian feature, lookback feature, monotone properties

21.

Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem

Number of pages: 31 Posted: 12 Dec 2005
Min Dai and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics and South China Normal University - Department of Math
Downloads 145 (156,601)
Citation 15

Abstract:

optimal investment, transaction costs, finite horizon, double obstacle problem, stochastic control, Riccati equation, portfolio selection, free boundary

22.

Options with Combined Reset Rights on Strike and Maturity

Number of pages: 25 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 139 (175,269)
Citation 1

Abstract:

Option pricing, strike reset, maturity reset, optimal stopping

23.

Valuing Employee Reload Options Under Time Vesting Requirement

Number of pages: 21 Posted: 15 Sep 2004
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 137 (175,269)
Citation 2

Abstract:

employee reload option, time vesting requirement, numerical algorithm

24.

Optimal Stock Selling Based on the Global Maximum

Number of pages: 20 Posted: 23 Feb 2012
Min Dai, Zhou Yang and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math and University of Oxford - Mathematical Institute
Downloads 122 (169,381)

Abstract:

Optimal selling strategy, global maximum, square error, variational inequality

25.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin and Hong Liu
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 106 (208,445)
Citation 1

Abstract:

Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

26.

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Number of pages: 45 Posted: 26 Nov 2010
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 102 (178,322)

Abstract:

convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

27.

Intensity-Based Framework and Penalty Formulation of Optimal Stopping Problems

Number of pages: 28 Posted: 28 Feb 2006
Yue Kuen Kwok, Min Dai and Hong You
Hong Kong University of Science & Technology - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 100 (212,559)
Citation 6

Abstract:

linear complementarity formulation, mortgage prepayment, optimal stopping

28.

Is Capital Gains Tax Law Biased Against Low Income Investors?

Number of pages: 43 Posted: 20 Nov 2011 Last Revised: 30 Nov 2011
Min Dai, Hong Liu and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 91 (232,369)

Abstract:

Capital Gains Tax Law, Portfolio Selection, Consumption, Asymmetric Tax Rates

29.

A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009
Number of pages: 8 Posted: 09 Mar 2011
Min Dai and Zhou Yang
National University of Singapore (NUS) - Department of Mathematics and South China Normal University - Department of Math
Downloads 91 (201,747)
Citation 1

Abstract:

optimal investment and consumption, transaction costs, finite horizon

30.

Characterization of Optimal Strategy for Multi-Asset Investment and Consumption with Transaction Costs

Number of pages: 26 Posted: 15 Nov 2012
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 87 (221,424)

Abstract:

portfolio selection, optimal investment and consumption, transaction costs, multiple risky assets, shape of trading and no-trading regions

31.

Pricing Corporate Debt with Finite Maturity and Chapter 11 Proceedings

Number of pages: 15 Posted: 06 Feb 2012 Last Revised: 11 Feb 2012
Min Dai, Lishang Jiang and Jianwei Lin
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics and Putian University - Department of Mathematics
Downloads 86 (208,445)

Abstract:

corporate debt pricing, bankruptcy boundary, declaring boundary, optimal stopping time, chapter 11 bankruptcy code

32.

Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

Number of pages: 22 Posted: 08 Jan 2007
Min Dai, Lishang Jiang and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics and South China Normal University - Department of Math
Downloads 82 (242,293)
Citation 2

Abstract:

optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints

33.

Knock-In American Options

Journal of Futures Markets, Vol. 24, No. 2, pp. 179-192, 2004
Number of pages: 12 Posted: 12 Jan 2010 Last Revised: 25 Jun 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 67 (264,960)

Abstract:

Barrier options, American options, knock in, analytic solutions

34.

Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 48, No. 2, pp. 1134-1154, 2009
Number of pages: 20 Posted: 08 Dec 2009
Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
Downloads 65 (271,164)
Citation 4

Abstract:

optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints, singular stochastic control

35.

A General Framework for Costly Information Transmission in Continuous Time

Number of pages: 36 Posted: 23 Jul 2010
Yizhou Cao, Min Dai and Hefei Wang
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Mathematics and University of Illinois at Chicago - Department of Finance
Downloads 64 (282,004)

Abstract:

36.

Asymptotics for Merton Problem with Capital Gain Taxes and Small Interest Rate

Number of pages: 28 Posted: 13 Dec 2013 Last Revised: 24 Jul 2014
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 63 (190,645)

Abstract:

Optimal investment and consumption, Capital gain tax, Merton problem, Continuous-time, Asymptotic expansion

37.

Hiring, Firing, and Relocation under Employment Protection

Number of pages: 55 Posted: 30 Oct 2014 Last Revised: 02 Apr 2015
Min Dai, Jussi Keppo and Tim A Maull
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 51 (225,975)

Abstract:

Labor market frictions, job reallocation, stochastic control

38.

Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

Forthcoming: Review of Financial Studies
Number of pages: 50 Posted: 15 Mar 2011 Last Revised: 21 Mar 2015
Min Dai, Hong Liu, Yang Chen and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 43 (325,011)

Abstract:

Capital Gains Tax, Tax Timing, Portfolio Selection, Asymmetric Tax Rates

39.

A Portfolio Rebalancing Theory of Disposition Effect

Number of pages: 49 Posted: 06 Apr 2015 Last Revised: 04 Feb 2016
Min Dai, Hong Liu and Jing Xu
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 40 (164,650)

Abstract:

Disposition Effect, Portfolio Selection, Transaction Costs, Wealth Constraints

40.

Superhedging Under Ratio Constraint

Number of pages: 20 Posted: 31 Dec 2014
Yingshan Chen, Min Dai, Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 38 (264,960)

Abstract:

superhedging, ratio constraint, dominating claim, counterexample

41.

Characterization of Optimal Stopping Regions of American Asian and Lookback Options

Mathematical Finance, Vol. 16, No. 1, pp. 63-82, January 2006
Number of pages: 20 Posted: 21 Jun 2006
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (449,016)
Citation 3
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Abstract:

42.

Optimal Shouting Policies of Options with Strike Reset Right

Mathematical Finance, Vol. 14, No. 3, pp. 383-401, July 2004
Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 18 (454,333)
Citation 7
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Abstract:

43.

Quanto Lookback Options

Mathematical Finance, Vol. 14, No. 3, pp. 445-467, July 2004
Number of pages: 23 Posted: 13 Aug 2004
Min Dai, Yue Kuen Kwok and Hoi Ying Wong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 16 (464,725)
Citation 1
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Abstract:

Lookback options, quanto feature, early exercise policies

44.

Optimal Stock Selling/Buying Strategy with Reference to the Ultimate Average

Mathematical Finance, Vol. 22, Issue 1, pp. 165-184, 2012
Posted: 21 Jan 2012
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 2 (533,881)
Citation 2
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Abstract:

optimal selling/buying strategy, ultimate average, time‐vesting

45.

Optimal Redeeming Strategy of Stock Loans with Finite Maturity

Mathematical Finance, Vol. 21, Issue 4, pp. 775-793, 2011
Number of pages: 19 Posted: 23 Aug 2011
Min Dai and Zuo Quan Xu
National University of Singapore (NUS) - Department of Mathematics and Hong Kong Polytechnic University
Downloads 2 (540,850)
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Abstract:

stock loans, finite maturity, optimal strategy, optimal stopping

46.

A Nonzero‐Sum Game Approach to Convertible Bonds: Tax Benefit, Bankruptcy Cost, and Early/Late Calls

Mathematical Finance, Vol. 23, Issue 1, pp. 57-93, 2013
Number of pages: 37 Posted: 10 Jan 2013
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 1 (550,765)
Citation 1
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Abstract:

convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

47.

Life-Cycle Consumption, Investment, and Voluntary Retirement with Cointegration between the Stock and Labor Markets

Number of pages: 60 Posted: 16 Mar 2017
Min Dai, Shan Huang and Seyoung Park
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and Loughborough University - School of Business and Economics
Downloads 0 (311,082)

Abstract:

Optimal Consumption, Optimal Investment, Voluntary Retirement, Cointegration, Income Risks

48.

Opaque Bank Assets and Optimal Equity Capital

Number of pages: 65 Posted: 02 Jun 2016 Last Revised: 04 Feb 2017
Min Dai, Shan Huang and Jussi Keppo
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and National University of Singapore - NUS Business School
Downloads 0 (205,771)

Abstract:

bank capital, dividends, investment, earnings smoothing, banking regulation

49.

How Does Illiquidity Affect Delegated Portfolio Choice?

WFA 2010 Victoria Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 78 Posted: 16 Feb 2009 Last Revised: 08 Nov 2016
Min Dai, Luis Goncalves-Pinto and Jing Xu
National University of Singapore (NUS) - Department of Mathematics, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Mathematics
Downloads 0 (67,713)
Citation 1

Abstract:

Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity

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