Title |
Author(s) |
IrusType |
Repository |
Item URL |
Total Downloads |
A decomposition approach via Fourier sine transform for valuing American knock-out options with time-dependent rebates |
Le, Nhat-Tan; Dang, Duy-Minh; Khanh, Tran-Vu |
Article |
University of Queensland [UQ eSpace] |
https://espace.library.uq.edu.au/view/UQ:414896 |
72 |
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models |
Dang, Duy-Minh; Jackson, Kenneth R.; Sues, Scott |
Article |
University of Queensland [UQ eSpace] |
https://espace.library.uq.edu.au/view/UQ:681817 |
164 |
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models |
Dang, Duy-Minh |
Article |
University of Queensland [UQ eSpace] |
https://espace.library.uq.edu.au/view/UQ:546855 |
118 |
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model |
Berthe, Edouard; Dang, Duy-Minh; Ortiz-Gracia, Luis |
Article |
University of Queensland [UQ eSpace] |
|
64 |
Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approach |
Dang, Duy-Minh; Forsyth, Peter |
Article |
University of Queensland [UQ eSpace] |
https://espace.library.uq.edu.au/view/UQ:371002 |
1 |
Mean-Quadratic Variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? |
van Staden, Pieter; Dang, Duy-Minh; Forsyth, Peter |
Article |
University of Queensland [UQ eSpace] |
|
86 |
Multilevel dimension reduction Monte-Carlo simulation for high-dimensional stochastic models in finance |
Dang, Duy-Minh; Xu, Qifan; Wu, Shangzhe |
Conference Papers/Posters |
University of Queensland [UQ eSpace] |
https://espace.library.uq.edu.au/view/UQ:368274 |
1 |
Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization |
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. |
Article |
University of Queensland [UQ eSpace] |
|
1 |
Time-consistent mean-variance portfolio allocation: a numerical impulse control approach |
van Staden, Pieter; Dang, Duy-Minh; Forsyth, Peter |
Article |
University of Queensland [UQ eSpace] |
|
36 |