Duy-Minh Dang
PhD
Senior Lecturer

Duy-Minh Dang


Email: duyminh.dang@uq.edu.au

Mailing address:
School of Mathematics and Physics
University of Queensland
St Lucia, Brisbane 4072


Office:
Building 67 (Priestly)
Room 744

Phone:
+61 (7) 3365 2686

Fax:
+61 (7) 3365 1477

Welcome!

I am a Senior Lecturer with the School of Mathematics and Physics at the University of Queensland, Brisbane, Australia. I am also the Director of the Master of Financial Mathematics program.

I serve on the Editorial Boards of the following journals: Research interests
  • Computational finance
  • Scientific computing, numerical methods, analysis and computation
Some information about my current and past research can be found at my (no-longer updated) SSRN author page .

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Publications

  • 2019

    • Mean-Quadratic Variation Portfolio Optimization: A desirable alternative to Time-consistent Mean-Variance Optimization?
      Pieter van Staden, Duy-Minh Dang, and Peter Forsyth
      [Link to preprint]
      SIAM Journal on Financial Mathematics 10(3), 815-856

    • A Shannon wavelet method for foreign exchange optons under the Heston multi-factor CIR model
      Edouard Berthe, Duy-Minh Dang, and Luis Ortiz-Gracia
      [Link to preprint on SSRN]
      Applied Numerical Mathematics 136 (2019), pp. 1-22

  • 2018

    • Time-consistent mean-variance portfolio allocation: a numerical impulse control approach
      Pieter van Staden, Duy-Minh Dang, and Peter Forsyth
      Insurance: Mathematics and Economics 83C (2018), pp. 9-28
      [Link to preprint on SSRN]

    • A dimension reduction Shannon-wavelet based method for option pricing
      Duy-Minh Dang and Luis Ortiz-Gracia
      Journal of Scientific Computing 75 (2) (2018), pp. 733-761
      [Link to preprint on SSRN]

    • Partial differential equation pricing of contingent claims under stochastic correlation
      Nat Leung, Christina Christara and Duy-Minh Dang
      SIAM Journal on Scientific Computing 40 (1) (2018), pp. B1-B33
      [Link to preprint on SSRN]

  • 2017

    • A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
      Duy-Minh Dang
      Journal of Computational and Applied Mathematics 324 (2017), pp. 49-71
      [Link to preprint on SSRN]

    • A dimension and variance reduction Monte Carlo method for pricing and hedging options under jump-diffusion models
      Duy-Minh Dang, Ken Jackson, and Scott Sues
      Applied Mathematical Finance 24 (2017), 175-215
      [Link to preprint on SSRN]

    • Pricing American Parisian down-and-out call options
      Nhat-Tan Nguyen, Xiaoping Lu, Song-Ping Zhu, and Duy-Minh Dang
      Applied Mathematics and Computation 305 (2017), pp. 330-347

    • The 4% rule revisited: A pre-commitment optimal mean-variance approach in wealth management
      Duy-Minh Dang, Peter Forsyth, and Ken Vetzal
      Quantitative Finance 17(3) (2017), pp. 335-351
      [Link to preprint on SSRN]

    • A decomposition approach via Fourier sine transform for valuing American knock-out options with time-dependent rebates
      Nhat-Tan Nguyen, Duy-Minh Dang, and Tran-Vu Khanh
      Journal of Computational and Applied Mathematics 317 (2017), pp. 652-671
      [Link to preprint on SSRN]

  • 2016

    • Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
      Duy-Minh Dang, Ken Jackson and Mohammadreza Mohammadi
      Applied Mathematical Finance 22 (5) (2016), pp. 522-552
      [Link to preprint on SSRN]

    • Convergence of the embedded mean-variance optimal points with discrete sampling
      Duy-Minh Dang, Peter Forsyth, and Yuying Li
      Numerische Mathematik 132 (2016), pp. 271-302
      [Link to preprint on SSRN]

    • Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approach
      Duy-Minh Dang and Peter Forsyth
      European Journal of Operational Research 250 (2016), pp. 827-841
      [Link to preprint on SSRN]

    • Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
      Duy-Minh Dang, Duy Nguyen and Granville Sewell
      Computers & Mathematics with Applications 71 (2016), pp. 443-458
      [Link to preprint on SSRN]

  • 2015

    • An efficient numerical PDE approach for pricing foreign exchange interest rate hybrid derivatives
      Duy-Minh Dang, Christina Christara, Ken Jackson and Asif Lakhany
      Journal of Computational Finance 18 (4) (2015) pp. 1-55
      [Link to preprint on SSRN]

    • Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in finance
      Duy-Minh Dang, Qifan Xu and Shangzhe Wu
      ICCS 2015 Proceedings, published in Procedia Computer Science 51(1), 1583-1592 (2015)
      [Link to preprint on SSRN]

  • 2014

    • Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
      Duy-Minh Dang and Peter Forsyth
      Numerical Methods for Partial Differential Equations 30 (2014), pp. 664-698
      [Link to preprint on SSRN]

    • GPU pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model
      Duy-Minh Dang, Christina Christara and Ken Jackson
      Journal of Concurrency and Computation: Practice and Experience 26 (9), 1609-1625 (2014)
      [Link to preprint on SSRN]

  • 2013

    • A highly efficient implementation on clusters of GPUs of PDE-based pricing methods for path-dependent foreign exchange interest rate hybrid derivatives.
      Duy-Minh Dang, Christina Christara, and Ken Jackson
      Springer's Lecture Notes in Computer Science (LNCS) 7975, pp. 107-126, 2013
      [Link to preprint on SSRN]

  • 2012

    • An efficient GPU-based parallel algorithm for pricing multi-asset American options
      Duy Minh Dang, Christina Christara and Ken Jackson (January 17, 2011)
      Journal of Concurrency and Computation: Practice and Experience 24 (8) 849-866, 2012
      [Link to preprint on SSRN] BIB]
      An ealier version of the paper is available in the proceedings of the workshop and can be found here (DOI:10.1109/WHPCF.2010.5671831).

  • 2011

    • Adaptive and high-order methods for valuing American options
      Christina Christara and Duy-Minh Dang
      Journal of Computational Finance, 14(4), 73-113, 2011
      [Link to preprint on SSRN]

  • 2010

    • Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
      Christina Christara, Tong Chen and Duy-Minh Dang
      Journal of Numerical Algorithms, 53(4), 511-553, 2010
      [Link to preprint on SSRN] [Journal page]

    • Pricing multi-asset American options on Graphics Processing Units using a PDE approach
      Duy Minh Dang, Christina Christara and Ken Jackson
      (Proceedings of the International Conference for High Performance Computing, Networking, Storage, and Analysis 2010 (SC 10), the Third workshop on High Performance Computational Finance (WHPCF'10), New Orleans, USA, November 13--19, 2010)
      [Link to preprint on SSRN]

    • A PDE pricing framework for cross-currency interest rate derivatives with Target Redemption features
      Christina Christara, Duy-Minh Dang, Ken Jackson and Asif Lakhany
      Proceedings of of the International Conference of Numerical Analysis and Applied Mathematics 2010 (ICNAAM 2010), Symposium in Computational Finance, Rhodes, Greece, September 19--25, 2010
      [Link to preprint on SSRN]

    • Pricing of cross-currency interest rate derivatives on Graphics Processing Units
      Duy-Minh Dang
      Proceedings of the IEEE International Parallel & Distributed Processing Symposium 2010 (IPDPS 2010), the Third International Workshop on Parallel and Distributed Computing in Finance, Atlanta, USA, April 19-23, 2010
      [Link to preprint on SSRN]

    • A PDE pricing framework for cross-currency interest rate derivatives Duy-Minh Dang, Christina Christara, Ken Jackson and Asif Lakhany
      (Best paper in Computational Finance and Business Intelligence- Proceedings of the International Conference In Computational Science 2010 (ICCS 2010), Amsterdam, May 31 - June 2, 2010)
      [Link to preprint on SSRN]

  • 2009

    • A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance
      Duy-Minh Dang, Christina Christara and Ken Jackson
      Canadian Applied Mathematics Quarterly, 17(4), 627-659, 2009
      [Link to prerprint on SSRN]

  • 2007

    • Spline collocation for parabolic partial differential equations
      Christina Christara, Tong Chen and Duy-Minh Dang
      Proceedings of the 2007 Numerical Analysis Conference, Kalamata, Greece, September 3-7, 2007, pgs 45-50

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Students

  • PostDoc

    • Xiaoshu Wang (April 2016 - April 2017)

  • PhDs

    • Pieter van Staden (April 2016 - March 2020, computational finance, University of Queensland, principal supervisor). Now a PostDoc at the University of Waterloo.

    • Fengjing (Jenny) Hu (Septermber 2016 - July 2020, business, University of Queensland, associate supervisor). Now a PostDoc at the University of Waterloo.

    • Yaowen Lu (August 2017 - current, computational finance, University of Queensland, principal supervisor)

    • Hanwen Zhang (September 2017 - current, computational finance, University of Queensland, principal supervisor)

Selected Awards and Grants

  • UQ Early Career Researcher (2015-2016)

  • NSERC PostDoctoral Fellowship

  • Best paper award in Computational Finance and Business Intelligence, Conference In Computational Science (ICCS), Amsterdam, May 31 - June 2, 2010.

  • Alexander Graham Bell Canada Graduate Scholarship (NSERC CGS D)

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Teaching

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Unpublished papers

  • A dimension reduction Monte Carlo method for efficient computation of exposure profiles for counter-party credit risk
    Duy-Minh Dang

  • Pricing executive options under jump-diffusion models
    Duy-Minh Dang, Fenjing Hu, and Steve Gray

  • Pricing structured products under jump-diffusion models
    Duy-Minh Dang, Fenjing Hu, and Steve Gray