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ORCIDDuy-Minh Dang
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Books and Theses
- 2013
[b1]Duy-Minh Dang:
Modeling Multi-factor Financial Derivatives by a Partial Differential Equation Approach with Efficient Implementation on Graphics Processing Units. University of Toronto, Canada, 2013
Journal Articles
- 2024
- [j15]Hanwen Zhang, Duy-Minh Dang
:
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. Math. Comput. Simul. 219: 112-140 (2024) - 2021
- [j14]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): 774-792 (2021) - [j13]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): 566-603 (2021) - 2019
- [j12]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): 815-856 (2019) - 2018
- [j11]Duy-Minh Dang, Luis Ortiz-Gracia:
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. J. Sci. Comput. 75(2): 733-761 (2018) - [j10]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) - 2017
- [j9]Nhat-Tan Le, Duy-Minh Dang:
Pricing American-style Parisian down-and-out call options. Appl. Math. Comput. 305: 330-347 (2017) - [j8]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: 652-671 (2017) - [j7]Duy-Minh Dang:
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models. J. Comput. Appl. Math. 324: 49-71 (2017) - 2016
- [j6]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): 443-458 (2016) - [j5]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): 827-841 (2016) - [j4]Duy-Minh Dang, Peter A. Forsyth, Yuying Li:
Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik 132(2): 271-302 (2016) - 2014
- [j3]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurr. Comput. Pract. Exp. 26(9): 1609-1625 (2014) - 2012
- [j2]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. Concurr. Comput. Pract. Exp. 24(8): 849-866 (2012) - 2010
- [j1]Christina C. Christara, Tong Chen, Duy Minh Dang:
Quadratic spline collocation for one-dimensional linear parabolic partial differential equations. Numer. Algorithms 53(4): 511-553 (2010)
Conference and Workshop Papers
- 2015
- [c4]Duy-Minh Dang, Qifan Xu, Shangzhe Wu:
Multilevel Dimension Reduction Monte-Carlo Simulation for High-dimensional Stochastic Models in Finance. ICCS 2015: 1583-1592 - 2013
- [c3]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives. ICCSA (5) 2013: 107-126 - 2010
- [c2]Duy Minh Dang:
Pricing of cross-currency interest rate derivatives on Graphics Processing Units. IPDPS Workshops 2010: 1-8 - [c1]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany:
A PDE pricing framework for cross-currency interest rate derivatives. ICCS 2010: 2371-2380
Coauthor Index
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