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 completed a PhD in Computer Science at the University of Toronto, where I specialized in numerical analysis and computational mathematics. Following my PhD, I was very fortunate to work with Professor Peter Forsyth during my two years as an NSERC Postdoctoral Fellow at the University of Waterloo, focusing on portfolio optimization.

Widely regarded as one of the pioneers in computational finance, Peter's work-- particularly in the development and application of partial differential equation (PDE) methods -- has laid the foundation for many of the numerical techniques now standard in both academia and industry. He is not only an exceptional researcher but also a generous mentor and a friend.

Since joining UQ in September 2014, I have led the Master of Financial Mathematics (MFinMath) Program, helping shape it into one of Australia's largest through strategic and sustained leadership. A key part of this transformation has been enhancing our teaching methodologies and cultivating a strong student and alumni community.

In parallel, I've established industry collaborations across sectors including FinTech, Superannuation, Energy, Investment, Banking & Finance, and Information Technology. A highlight of these efforts is the introduction of industry placement projects in 2015, which have become a cornerstone of the Program and strengthened its relevance to real-world applications.

These initiatives have opened up promising career and research pathways for our students. I have had the privilege of supervising over 120 MFinMath graduates and several PhD candidates, many of whom are now contributing meaningfully across academia and industry.

My ongoing commitment remains focused on fostering an enriching learning environment, advancing impactful research, and deepening industry-academia partnerships at UQ.

Beyond my professional commitments, I find balance through a range of personal interests.

  • Sports:I am a black belt in Judo and a regular practitioner of judo-based functional training. My journey in Judo began with my father, himself a black belt, who first inspired my love for the sport.
  • Music: I have a deep appreciation for music, particularly piano compositions (especially those from the Baroque period (1600-1750) and the Classical period (early 1700s to early 1800s)).

    My daughter, now an advanced pianist pursuing her Associate in Music, Australia (AMusA), has been a source of both inspiration and amusement for me. Despite enduring her initial stages of piano practice, filled with the typical off-key notes and stumbles that come with learning an instrument, I've been rewarded with the joy of her progress. Her dedication to mastering the piano serves as a continual source of motivation and a reminder of the beauty found in commitment and growth. Some of her performances in piano competitions will be posted here.

Research/Consulting

Research interests

  • Computational finance (stochastic optimal control)
  • Numerical analysis
  • Scientific computing

Currently, I am offering the following projects (Honours, Master and PhD level):

  • Machine Learning for Defined Contribution Superannuation [description]
  • Numerical Methods for Hamilton-Jacobi-Bellman Equations in Finance [description]

I have had research collaborations or carried out research-related consulting for several industry organisations, such as: Algorithmics, BMO, ScotiaBank (Canada), and Suncorp, QSuper, Pinnacle (Australia).

Since 2015, I have served on the Editorial Boards of the following international journals:

Some information about my past research can be found at my SSRN author page (no-longer updated).

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Papers

  • Numerical analysis of American option pricing in a two-asset jump-diffusion model

    Hao Zhou and Duy-Minh Dang
    [Link to preprint] or [arXiv]
    (To appear in Applied Numerical Mathematics)

  • A monotone piecewise constant control integration approach for the two-factor uncertain volatility model

    Duy-Minh Dang and Hao Zhou
    [Link to preprint] or [arXiv]
    (Revised April 10, 2025)

  • Fourier neural network approximation of transition densities in finance

    Rong Du and Duy-Minh Dang
    [Link to preprint] or [arXiv]
    SIAM Journal on Scientific Computing 47 (2) C529-C557
    (Section: Machine Learning Methods for Scientific Computing)

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

    Hanwen Zhang and Duy-Minh Dang
    [Link to preprint] or [arXiv]
    Mathematics and Computer in Simulation 219 (May 2024), pp. 112-140 [Open-access]

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

    Yaowen Lu and Duy-Minh Dang
    [Link to preprint]

  • A semi-Lagrangian ε-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate

    Yaowen Lu and Duy-Minh Dang
    [Link to preprint]
    Numerical Methods for Partial Differential Equations (202?) [Open-access]

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

    Yaowen Lu, Duy-Minh Dang, Peter A. Forsyth, George Labahn
    [Link to preprint]

  • Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization

    Pieter M. van Staden, Duy-Minh Dang, and Peter Forsyth
    [Link to preprint]
    International Journal of Theoretical and Applied Finance 24:5 (2021) Article 2150029, 1-49

  • On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies

    Pieter M. van Staden, Duy-Minh Dang, and Peter Forsyth
    [Link to preprint]
    SIAM Journal on Financial Mathematics 12 (2021) 566-601

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

    Pieter van Staden, Duy-Minh Dang, and Peter Forsyth
    [Link to preprint]
    European Journal of Operational Research 289:2 (2021) 774-792

  • 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 (2019), 815-856

  • A Shannon wavelet method for foreign exchange options 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

  • Time-consistent mean-variance portfolio allocation: a numerical impulse control approach

    Pieter van Staden, Duy-Minh Dang, and Peter Forsyth
    [Link to preprint]
    Insurance: Mathematics and Economics 83C (2018), pp. 9-28

  • A dimension reduction Shannon-wavelet based method for option pricing

    Duy-Minh Dang and Luis Ortiz-Gracia
    [Link to preprint on SSRN]
    Journal of Scientific Computing 75 (2) (2018), pp. 733-761

  • Partial differential equation pricing of contingent claims under stochastic correlation

    Nat Leung, Christina Christara and Duy-Minh Dang
    [Link to preprint on SSRN]
    SIAM Journal on Scientific Computing 40 (1) (2018), pp. B1-B33

  • A multi-level dimension reduction Monte-Carlo method for jump-diffusion models

    Duy-Minh Dang
    [Link to preprint on SSRN]
    Journal of Computational and Applied Mathematics 324 (2017), pp. 49-71

  • 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
    [Link to preprint on SSRN]
    Applied Mathematical Finance 24 (2017), 175-215

  • 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]

  • 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]

  • 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]

  • 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]

  • 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]

  • 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]
    An earlier version of the paper is available in the workshop proceedings and can be found here (DOI:10.1109/WHPCF.2010.5671831).

  • 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]

  • 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]

  • 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 preprint on SSRN]

  • 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

    • Zijun Jia (August 2023 - July 2024)
    • Yijuan Lian (September 2018 - August 2019)
    • Xiaoshu Wang (April 2016 - April 2017)

  • PhDs

    • Pieter van Staden (April 2016 - March 2020, computational finance, University of Queensland, principal supervisor). PostDoc at the University of Waterloo, now at National Australia Bank (NAU)
    • Fengjing (Jenny) Hu (September 2016 - July 2020, business, University of Queensland, associate supervisor).
    • Yaowen Lu (August 2017 - July 2022, computational finance, University of Queensland, principal supervisor). Now at Jacobi Strategies
    • Hanwen Zhang (September 2017 - current, computational finance, University of Queensland, principal supervisor)
    • Hao Zhou (September 2022 - current, computational finance, University of Queensland, principal supervisor)
    • Chang Chen (July 2024 - current, computational finance, University of Queensland, principal supervisor)

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Teaching

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