Duy-Minh Dang

15 papers Misc 1Journal 13
YearRankTypeTitle / Venue / Authors
2025 J jnl
Fourier Neural Network Approximation of Transition Densities in Finance.
SIAM J. Sci. Comput.
Rong Du, Duy-Minh Dang
2024 J jnl
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models.
Math. Comput. Simul.
Hanwen Zhang, Duy-Minh Dang
2021 J jnl
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies.
SIAM J. Financial Math.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2021 J jnl
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors.
Eur. J. Oper. Res.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2019 J jnl
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
SIAM J. Financial Math.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2018 J jnl
A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing.
J. Sci. Comput.
Duy-Minh Dang, Luis Ortiz-Gracia
2018 J jnl
Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation.
SIAM J. Sci. Comput.
Nat Chun-Ho Leung, Christina C. Christara, Duy-Minh Dang
2017 J jnl
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates.
J. Comput. Appl. Math.
Nhat-Tan Le, Duy-Minh Dang, Tran-Vu Khanh
2017 J jnl
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models.
J. Comput. Appl. Math.
Duy-Minh Dang
2017 J jnl
Pricing American-style Parisian down-and-out call options.
Appl. Math. Comput.
Nhat-Tan Le, Duy-Minh Dang
2016 J jnl
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach.
Eur. J. Oper. Res.
Duy-Minh Dang, Peter A. Forsyth
2016 J jnl
Convergence of the embedded mean-variance optimal points with discrete sampling.
Numerische Mathematik
Duy-Minh Dang, Peter A. Forsyth, Yuying Li
2016 J jnl
Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models.
Comput. Math. Appl.
Duy-Minh Dang, Duy Nguyen, Granville Sewell
2015 Misc conf
Multilevel Dimension Reduction Monte-Carlo Simulation for High-dimensional Stochastic Models in Finance.
ICCS
Duy-Minh Dang, Qifan Xu, Shangzhe Wu
2013 — —
Modeling Multi-factor Financial Derivatives by a Partial Differential Equation Approach with Efficient Implementation on Graphics Processing Units.
Duy-Minh Dang