School of Mathematics and Physics

Dr Duy-Minh Dang

Senior Lecturer
School of Mathematics and Physics
+61 7 336 52686
Priestley Building (67), Room 744
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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. 

Researcher biography

I joined UQ in September 2014 as Senior Lecturer in Mathematics and Director of the Master of Financial Mathematics (MFinMath) Program. Through strategic and effective leadership, I've overseen the Program's transformation into one of Australia's largest. My commitment to enhancing teaching methodologies, fostering a vibrant student and alumni community, and emphasising industry relevance and collaboration, has significantly contributed to this growth. Additionally, I've had the privilege of supervising well over 100 MFinMath graduates and several PhD candidates, many of whom are making significant contributions in corporations worldwide. My commitment to academic rigour, industry relevance and collaboration ensures our graduates are well-prepared for their careers.

My research focuses on the development of reliable numerical methods for stochastic control problems in finance. In particular, I have worked on complex mathematical challenges such as Defined Contribution superannuation and valuation adjustments, which stem from governance issues and broader societal needs. My robust collaboration with key sectors including FinTech, Superannuation, Energy, Investment, Banking & Finance, Information Technology, and Commercial, reinforces the practical relevance of my academic endeavors and strengthens the bridge between academia and industry.

My ongoing commitment is focused on fostering an enriching educational environment, promoting impactful research, and strengthening industry-academia collaborations at UQ.

Beyond my professional commitments, I find balance through a range of personal interests. I am a blackbelt in Judo and an enthusiastic CrossFit practitioner.

Furthermore, I have a deep appreciation for music, particularly piano compositions. My daughter, now an advanced pianist, has been a source of both inspiration and amusement for me. Despite enduring her initial stages of piano practice, filled with the typical off-key notes and stumbles that come with learning an instrument, I've been rewarded with the joy of her progress. Her dedication to mastering the piano serves as a continual source of motivation and a reminder of the beauty found in commitment and growth.

I hold a PhD in Computer Science from the University of Toronto, Canada.

Featured projects Duration
Numerical Methods for Hamilton-Jacobi-Bellman Equations in Finance
Machine Learning for Defined Contribution Superannuation

Publications

Journal Articles (26)
Conference Papers (6)

Journal Articles

Zhang, Hanwen and Dang, Duy-Minh (2024). A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. Mathematics and Computers in Simulation, 219, 112-140. doi: 10.1016/j.matcom.2023.12.011
Lu, Yaowen and Dang, Duy-Minh (2024). A semi-Lagrangian ϵ-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. Numerical Methods for Partial Differential Equations, 40 (3) e23075, 1-50. doi: 10.1002/num.23075
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.

Areas of research

Applied mathematics
Financial mathematics
Operations research
Scientific computing and numerical modelling