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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 (2,536)
Citation 1

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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 (13,674)
Citation 1

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3.

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Downloads 728 ( 30,171)
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 726 (29,806)
Citation 13

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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 (601,180)
Citation 13
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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 (48,289)

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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 (61,131)
Citation 8

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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 (65,253)
Citation 4

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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 (62,372)
Citation 3

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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 (90,443)
Citation 1

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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 (90,443)

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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 (108,206)
Citation 3

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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 (122,258)
Citation 2

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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 (120,641)
Citation 4

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

13.

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Downloads 201 (136,160)
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 109 (227,590)

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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 92 (255,964)
Citation 1

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

14.

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 (116,621)
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15.

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 (133,183)
Citation 2

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

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 (81,628)

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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 (157,106)

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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 (162,039)
Citation 4

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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 (144,277)
Citation 4

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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 (174,721)
Citation 1

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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 (166,366)
Citation 15

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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 (188,084)
Citation 1

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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 (188,084)
Citation 2

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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 (171,860)

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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 (223,425)
Citation 1

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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 (186,986)

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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 (224,936)
Citation 6

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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 (245,434)

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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 (208,423)
Citation 1

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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
Unaffiliated Authors - Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 87 (235,539)

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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 (212,321)

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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 (254,053)
Citation 2

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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 (281,015)

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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 (285,367)
Citation 4

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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 (298,862)

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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
Unaffiliated Authors - Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 63 (190,265)

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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 (235,539)

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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 (340,936)

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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 (160,312)

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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 (276,903)

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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 (475,823)
Citation 3
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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 (481,308)
Citation 7
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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 (491,878)
Citation 1
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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 (565,411)
Citation 2
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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 (573,031)
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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 (583,268)
Citation 1
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

47.

Optimal Portfolio Choice for Early Retirement with Cointegration between the Stock and Labor Markets

Number of pages: 61 Posted: 16 Mar 2017 Last Revised: 15 Nov 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 (254,053)

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

48.

Opaque Bank Assets and Optimal Equity Capital

Number of pages: 87 Posted: 02 Jun 2016 Last Revised: 08 Jan 2018
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 (198,390)

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

49.

How Does Illiquidity Affect Delegated Portfolio Choice?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, WFA 2010 Victoria Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 75 Posted: 16 Feb 2009 Last Revised: 13 May 2018
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 (60,967)

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Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity