Duy-Minh Dang

Publication Activity (10 Years)

Years Active: 2015-2024
Publications (10 Years): 12

Top Topics

Stochastic Models

Portfolio Optimization

Diffusion Models

Top Venues

J. Comput. Appl. Math.

SIAM J. Financial Math.

Eur. J. Oper. Res.

Math. Comput. Simul.

Publications

Hanwen Zhang, Duy-Minh Dang
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. Math. Comput. Simul. 219 (2024)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. SIAM J. Financial Math. 12 (2) (2021)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. Eur. J. Oper. Res. 289 (2) (2021)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM J. Financial Math. 10 (3) (2019)
Duy-Minh Dang, Luis Ortiz-Gracia
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. J. Sci. Comput. 75 (2) (2018)
Nat Chun-Ho Leung, Christina C. Christara, Duy-Minh Dang
Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation. SIAM J. Sci. Comput. 40 (1) (2018)
Nhat-Tan Le, Duy-Minh Dang, Tran-Vu Khanh
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates. J. Comput. Appl. Math. 317 (2017)
Nhat-Tan Le, Duy-Minh Dang
Pricing American-style Parisian down-and-out call options. Appl. Math. Comput. 305 (2017)
Duy-Minh Dang
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models. J. Comput. Appl. Math. 324 (2017)
Duy-Minh Dang, Peter A. Forsyth, Yuying Li
Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik 132 (2) (2016)
Duy-Minh Dang, Peter A. Forsyth
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach. Eur. J. Oper. Res. 250 (3) (2016)
Duy-Minh Dang, Duy Nguyen, Granville Sewell
Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. Comput. Math. Appl. 71 (1) (2016)
Duy-Minh Dang, Qifan Xu, Shangzhe Wu
Multilevel Dimension Reduction Monte-Carlo Simulation for High-dimensional Stochastic Models in Finance. ICCS (2015)