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Christara, Christina C. and Dang, Duy-Minh (2011) Adaptive and high-order methods for valuing American options. Journal of Computational Finance, 14 4: .     9
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     1 Cited 2 times in Scopus2 0
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     Cited 4 times in Scopus4 0
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     3 Cited 3 times in Scopus3 0
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. In: Beniamino Murgante, Sanjay Misra, Maurizio Carlini, Carmelo M. Torre, Hong-Quang Nguyen, David Taniar, Bernady O. Apduhan and Osvaldo Gervasi, Computational Science and Its Applications: ICCSA 2013. 13th International Conference: Proceedings. ICCSA 2013: The 13th International Conference on Computational Science and its Applications, Ho Chi Minh City, Vietnam, (107-126). 24-27 June, 2013. doi:10.1007/978-3-642-39640-3_8     0
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     2 Cited 3 times in Scopus3 0
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     12 Cited 15 times in Scopus15 0
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     0 Cited 3 times in Scopus3
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.    
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. In: Theodore E. Simos, George Psihoyios and Ch. Tsitouras, Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2010, ICNAAM 2010. ICNAAM 2010: International Conference on Numerical Analysis and Applied Mathematics 2010, Rhodes, Greece, (330-333). 19 - 25 September 2010. doi:10.1063/1.3498467     0 0 0
Berthe, Edouard, Dang, Duy-Minh and Ortiz-Gracia, Luis (2018) A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model. Applied Numerical Mathematics, . doi:10.1016/j.apnum.2018.09.013     0 0
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     14 Cited 13 times in Scopus13 0
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     11 Cited 9 times in Scopus9 0
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   2 3 Cited 4 times in Scopus4 0
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     Cited 7 times in Scopus7 0
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     5 Cited 10 times in Scopus10 0
Dang, Duy-Minh, Xu, Qifan and Wu, Shangzhe (2015). Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in finance. In: International Conference On Computational Science, ICCS 2015 — Computational Science at the Gates of Nature. International Conference On Computational Science, ICCS 2015, Reykjavik, Iceland, (1583-1592). 1-3 June 2015. doi:10.1016/j.procs.2015.05.289     0 Cited 4 times in Scopus4 0
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     2 Cited 3 times in Scopus3 0
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     1 Cited 1 times in Scopus1
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     2 Cited 1 times in Scopus1 0
Dang, Duy-Minh, Christara, Christina C. and Jackson, Kenneth R. (2010). Pricing multi-asset American options on Graphics Processing Units using a PDE approach. In: Matthew Dixon , David Daly, Maria Eleftheriou , Jose Moreira and Kyung Ryu , Proceedings of the 3rd Workshop on High Performance Computational Finance, WHPCF 2010. 3rd Workshop on High Performance Computational Finance, WHPCF 2010, New Orleans, LA United States, (). 14 November 2010. doi:10.1109/WHPCF.2010.5671831     Cited 4 times in Scopus4 0
Dang, Duy-Minh (2010). Pricing of cross-currency interest rate derivatives on graphics processing units. In: Proceedings of the 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010. 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010, Atlanta, GA United States, (). 19 - 23 April 2010. doi:10.1109/IPDPSW.2010.5470708     Cited 3 times in Scopus3 0
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     11 Cited 14 times in Scopus14 0
Christara, Christina C., Chen, Tong and Dang, Duy-Minh (2007). Spline collocation for parabolic partial differential equations. In: Conference in Numerical Analysis (NumAn 2007). Recent Approaches to Numerical Analysis: Theory, Methods and Applications. Proceedings. NumAn 2007: Conference in Numerical Analysis, Kalamata, Greece, (46-51). 3-7 September, 2007.    
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     1 Cited 1 times in Scopus1 0
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     0 0