D. Dang

发表

Partial Differential Equation Pricing of Contingent Claims Under Stochastic Correlation

C. Christara, N. Leung, D. Dang, 2017 .

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

K. Jackson, D. Dang, Mohammadreza Mohammadi, 2015 .

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

K. Jackson, D. Dang, Mohammadreza Mohammadi, 2015 .

Pricing multi-asset American options on Graphics Processing Units using a PDE approach

K. Jackson, C. Christara, D. Dang, 2010, 2010 IEEE Workshop on High Performance Computational Finance.

A Shannon Wavelet Method for Pricing Foreign Exchange Options under the Heston Multi-Factor CIR Model

D. Dang, Luis Ortiz-Gracia, E. Berthe, 2017, Applied Numerical Mathematics.

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

K. Jackson, D. Dang, S. Sues, 2016 .

A Dimension and Variance Reduction Monte-Carlo Method for Option Pricing under Jump-Diffusion Models

K. Jackson, D. Dang, S. Sues, 2016 .

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing

D. Dang, Luis Ortiz-Gracia, L. Ortiz-Gracia, 2016, Journal of Scientific Computing.

Better than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: A Semi-Self-Financing Hamilton-Jacobi-Bellman Equation Approach

Peter Forsyth, Duy-Minh Dang, P. Forsyth, 2015 .

Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach: Numerical Impulse Control Approach

Peter A. Forsyth, Duy-Minh Dang, P. Forsyth, 2014 .

An Efficient Numerical Partial Differential Equation Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

K. Jackson, C. Christara, A. Lakhany, 2015 .

Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

D. Nguyen, D. Dang, G. Sewell, 2015 .

Better than pre-commitment mean-variance portfolio allocation 1 strategies : a semi-self-financing

P. Forsyth, D. Dang, 2015 .

An ϵ -monotone Fourier method for Guaranteed Minimum 1 Withdrawal Benefit as a continuous impulse control problem

P. Forsyth, D. Dang, G. Labahn, 2022 .

Convergence of the embedded mean-variance optimal points with discrete sampling

P. Forsyth, Yuying Li, D. Dang, 2015, Numerische Mathematik.

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

Peter A. Forsyth, Duy-Minh Dang, Pieter M. van Staden, 2021, Eur. J. Oper. Res..

Better than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: A Semi-Self-Financing Hamilton-Jacobi-Bellman Equation Approach

Peter A. Forsyth, Duy-Minh Dang, P. Forsyth, 2015, Eur. J. Oper. Res..

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

Peter A. Forsyth, Duy-Minh Dang, Pieter M. van Staden, 2021, SIAM J. Financial Math..

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION

P. Forsyth, D. Dang, Pieter M. Van Staden, 2021, International Journal of Theoretical and Applied Finance.

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

Peter A. Forsyth, Duy-Minh Dang, Pieter M. van Staden, 2019, SIAM J. Financial Math..

The 4 percent Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management

Peter Forsyth, Duy-Minh Dang, P. Forsyth, 2016 .

Applied Mathematics and Computation

Tae H. Lee, Bharti, T. Stützle, 2020 .

Adaptive and High-Order Methods for Valuing American Options

Duy-Minh Dang, C. Christara, D. Dang, 2010 .

Time-Consistent Mean-Variance Portfolio Optimization: A Numerical Impulse Control Approach

Peter A. Forsyth, Duy-Minh Dang, Pieter M. van Staden, 2017, Insurance: Mathematics and Economics.

Time-consistent mean-variance portfolio optimization: a numerical 1 impulse control approach

Pieter M. van Staden, D. Dang, Peter A. Forsyth, 2021 .

Practical investment consequences of the scalarization parameter

Pieter M. van Staden, P. Forsyth, D. Dang, 2021 .

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing

Luis Ortiz-Gracia, Duy-Minh Dang, D. Dang, 2018, J. Sci. Comput..

A Multi-Level Dimension Reduction Monte-Carlo Method for Jump-Diffusion Models

Duy-Minh Dang, D. Dang, 2015, J. Comput. Appl. Math..

A semi‐Lagrangian ε$$ \varepsilon $$ ‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate

D. Dang, Yaowen Lu, 2023, Numerical Methods for Partial Differential Equations.

A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate

D. Dang, Yao Lu, 2023, 2310.00606.

A pointwise convergent numerical integration method for Guaranteed Lifelong Withdrawal Benefits with stochastic volatility

D. Dang, Yao Lu, 2023 .

A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models

D. Dang, Hanwen Zhang, 2023, Mathematics and Computers in Simulation.

Monotone numerical integration methods for mean-variance portfolio 1 optimization under jump-diffusion models

D. Dang, Hanwen Zhang, 2023 .

Pricing American-style Parisian down-and-out call options

Duy-Minh Dang, Nhat-Tan Le, D. Dang, 2017, Appl. Math. Comput..

Convergence of the embedded mean-variance optimal points with discrete sampling

P. Forsyth, Yuying Li, D. Dang, 2015, Numerische Mathematik.

Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

Granville Sewell, Duy Nguyen, Duy-Minh Dang, 2015, Comput. Math. Appl..

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Kenneth R. Jackson, Christina C. Christara, Duy-Minh Dang, 2010 .