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Dr Duy-Minh Dang

Senior Lecturer (Director of the Master of Financial Mathematics Program)
Located in Building 67 - Room 752
Phone: 52686
PhD University of Toronto
Personal/External URL This an external website. The views and opinions that may be expressed in it are not of The University of Queensland.
Research Interests Financial/Computational Finance, Parallel Computing (GPUs), Scientific Computing, Numerical Analysis,

Available Projects

Title Body Level
SRS-05/17 Hybrid Monte Carlo and Partial Differential Equation computational methods for exotic options

Suitable for:  Master/Honours students with a good background in computational mathematics and/or scientific computing.  Proficiency in C++ is a must.

Project:  The project will focus on the development of hybrid Monte...

Summer Project
SRS-04/17 Hybrid Monte Carlo and PDE methods for valuation adjustments in finance

Suitable for:  Master/Honours students with an excellent background in computational mathematics and a strong interest/background in finance (eg Master of Financial Mathematics).


Summer Project
Modeling, pricing, calibration and risk management of long dated foreign exchange interest rate derivatives

The projects aim to address three major challenges in modeling long-dated (maturities of 30 years more) foreign exchange (FX) interest rate (IR) hybrid derivatives, namely (i) the strong sensitivity of the products to the skew of the FX volatility smiles, (ii) their very long maturities, and (...

PhD Project
Masters Project
Hybrid Monte Carlo methods for high-dimensional problems in finance

Partial Differential Equation (PDE) and Monte Carlo (MC) are the two major computational approaches in finance. The PDE approach is a very robust and efficient pricing approach for...

PhD Project
Masters Project
Numerical methods for Hamilton Jacobi Bellman equations in finance.

Many popular problems in mathematical finance can be posed in terms of a stochastic optimal control problem, which can then be formulated as nonlinear Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs), or partial integro-differential equations (PIDEs), when the underlying...

PhD Project
Masters Project