# Dr Duy-Minh Dang

Senior Lecturer

Mathematics

+61 7 336 52686

Priestley Building (67), Room 744

## Personal page

Dr Duy-Minh Dang's personal page

## Teaching and learning

Dr Dang teaches 3rd and 4th year financial mathematics, postgraduate financial mathematics and is the Director of the Masters of Financial Mathematics.

### Journal Articles

van Staden, Pieter M., Dang, Duy-Minh and Forsyth, Peter A. (2021).

*Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization*. International Journal of Theoretical and Applied Finance, 24 (05) 2150029, 2150029. doi: 10.1142/S0219024921500291
van Staden, Pieter M., Duy-Minh Dang, and Forsyth, Peter A. (2021).

*The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors*. European Journal of Operational Research, 289 (2), 774-792. doi: 10.1016/j.ejor.2020.07.021
van Staden, Pieter M., Dang, Duy-Minh and Forsyth, Peter A. (2021).

*On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies*. Siam Journal On Financial Mathematics, 12 (2), 566-603. doi: 10.1137/20m1338241
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2019).

*Mean-Quadratic Variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization?*. SIAM Journal on Financial Mathematics, 10 (3), 815-856. doi: 10.1137/18M1222570
Berthe, Edouard, Dang, Duy-Minh and Ortiz-Gracia, Luis (2019).

*A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model*. Applied Numerical Mathematics, 136, 1-22. doi: 10.1016/j.apnum.2018.09.013
van Staden, Pieter, Dang, Duy-Minh and Forsyth, Peter (2018).

*Time-consistent mean-variance portfolio allocation: a numerical impulse control approach*. Insurance: Mathematics and Economics, 83, 9-28. doi: 10.1016/j.insmatheco.2018.08.003
Le, Nhat-Tan, Lu, Xiaoping, Zhu, Song-Ping and Dang, Duy-Minh (2018).

*Pricing American Parisian down-and-out call options*. Applied Mathematics and Computation, 305, 330-347. doi: 10.1016/j.amc.2017.02.015
Leung, Nat Chun-Ho, Christara, Christina C. and Dang, Duy-Minh (2018).

*Partial differential equation pricing of contingent claims under stochastic correlation*. SIAM Journal on Scientific Computing, 40 (1), B1-B31. doi: 10.1137/16M1099017
Dang, Duy-Minh (2017).

*A multi-level dimension reduction Monte-Carlo method for jump-diffusion models*. Journal of Computational and Applied Mathematics, 324, 49-71. doi: 10.1016/j.cam.2017.04.014
Dang, Duy-Minh and Ortiz-Gracia, Luis (2017).

*A dimension reduction Shannon-wavelet based method for option pricing*. Journal of Scientific Computing, 75 (2), 1-29. doi: 10.1007/s10915-017-0556-y
Dang, Duy-Minh, Jackson, Kenneth R. and Sues, Scott (2017).

*A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models*. Applied Mathematical Finance, 24 (3), 1-41. doi: 10.1080/1350486X.2017.1358646
Le, Nhat-Tan, Dang, Duy-Minh and Khanh, Tran-Vu (2017).

*A decomposition approach via Fourier sine transform for valuing American knock-out options with time-dependent rebates*. Journal of Computational and Applied Mathematics, 317, 652-671. doi: 10.1016/j.cam.2016.12.030
Dang, Duy-Minh, Forsyth, Peter and Vetzal, Ken (2017).

*The 4% rule revisited: a pre-commitment optimal mean-variance approach in wealth management*. Quantitative Finance, 17 (3), 335-351. doi: 10.1080/14697688.2016.1205211
Dang, Duy-Minh and Forsyth, Peter (2016).

*Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approach*. European Journal of Operational Research, 250 (3), 827-841. doi: 10.1016/j.ejor.2015.10.015
Dang, Duy-Minh, Forsyth, Peter A. and Li, Yuying (2016).

*Convergence of the embedded mean-variance optimal points with discrete sampling*. Numerische Mathematik, 132 (2), 271-302. doi: 10.1007/s00211-015-0723-8
Dang, Duy-Minh, Nguyen, Duy and Sewell, Granville (2016).

*Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models*. Computers and Mathematics with Applications, 71 (1), 443-458. doi: 10.1016/j.camwa.2015.12.017
Dang, Duy-Minh, Christara, Christina C., Jackson, Kenneth R. and Lakhany, Asif (2015).

*An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives*. Journal of Computational Finance, 18 (4), 1-55. doi: 10.21314/JCF.2015.303
Dang, Duy-Minh, Jackson, Kenneth R. and Mohammadi, Mohammadreza (2015).

*Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance*. Applied Mathematical Finance, 22 (6), 522-552. doi: 10.1080/1350486X.2015.1110492
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2014).

*Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model*. Concurrency and Computation: Practice and Experience, 26 (9), 1609-1625. doi: 10.1002/cpe.2824
Dang, Duy-Minh and Forsyth, Peter A. (2014).

*Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach*. Numerical Methods for Partial Differential Equations, 30 (2), 664-698. doi: 10.1002/num.21836
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2012).

*An efficient GPU-based parallel algorithm for pricing multi-asset American options*. Concurrency and Computation: Practice and Experience, 24 (8), 849-866. doi: 10.1002/cpe.1784
Christara, Christina C. and Dang, Duy-Minh (2011).

*Adaptive and high-order methods for valuing American options*. Journal of Computational Finance, 14 (4).
Christara, Christina C., Chen, Tong and Dang, Duy-Minh (2010).

*Quadratic spline collocation for one-dimensional linear parabolic partial differential equations*. Numerical Algorithms, 53 (4), 511-553. doi: 10.1007/s11075-009-9317-9
Dang, Duy-Minh, Christara, C. C. and Jackson, K. R. (2009).

*A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance*. Canadian Applied Mathematics Quarterly, 17 (4), 627-659.### Conference Papers

Dang, Duy-Minh, Xu, Qifan and Wu, Shangzhe (2015).

*Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in finance*.*International Conference On Computational Science, ICCS 2015*, Reykjavik, Iceland, 1-3 June 2015. Amsterdam, Netherlands: Elsevier. doi: 10.1016/j.procs.2015.05.289
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2013).

*A highly efficient implementation on clusters of GPUs of PDE-based pricing methods for path-dependent foreign exchange interest rate hybrid derivatives*.*ICCSA 2013: The 13th International Conference on Computational Science and its Applications*, Ho Chi Minh City, Vietnam, 24-27 June, 2013. Heidelberg, Germany: Springer. doi: 10.1007/978-3-642-39640-3_8
Christara, Christina C., Dang, Duy-Minh, Jackson, Kenneth R. and Lakhany, Asif (2010).

*A PDE pricing framework for cross-currency interest rate derivatives with target redemption features*.*ICNAAM 2010: International Conference on Numerical Analysis and Applied Mathematics 2010*, Rhodes, Greece, 19 - 25 September 2010. College Park, MD United States: American Institute of Physics. doi: 10.1063/1.3498467
Dang, Duy-Minh (2010).

*Pricing of cross-currency interest rate derivatives on graphics processing units*.*2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010*, Atlanta, GA United States, 19 - 23 April 2010. Piscataway, NJ United States: I E E E. doi: 10.1109/IPDPSW.2010.5470708
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2010).

*Pricing multi-asset American options on Graphics Processing Units using a PDE approach*.*3rd Workshop on High Performance Computational Finance, WHPCF 2010*, New Orleans, LA United States, 14 November 2010. Piscataway, NJ United States: I E E E. doi: 10.1109/WHPCF.2010.5671831
Christara, Christina C., Chen, Tong and Dang, Duy-Minh (2007).

*Spline collocation for parabolic partial differential equations*.*NumAn 2007: Conference in Numerical Analysis*, Kalamata, Greece, 3-7 September, 2007. Patras, Greece: Department of Mathematics, University of Patras.