Summer Project
Dr Duy-Minh Dang

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 Carlo and Partial Differential Equation computational methods for exotic financial options.  The project will also focus on design and implementation in C++ of the resulting algorithm.

Expected outcomes:  The expected outcome of this project is a C++ software package for hybrid Monte Carlo and Partial Differential Equation computational approach for exotic option pricing.

Duration:  10 weeks; start date is flexible, but preferably by the last week of November.

Contact:  Dr Duy-Minh Dang, duyminh.dang@uq.edu.au or phone +61 7 336 52686 or 0432 045993; room 752 Priestley Building (67) UQ St Lucia campus.


Duy-Minh Dang, Ken Jackson and Mohammadreza Mohammadi, Applied Mathematical Finance 22 (5) (2015), pp. 522-552.

Duy-Minh Dang, A multi-level dimension reduction Monte-Carlo method for jump-diffusion models, Journal of Computaitonal and Applied Mathematics 324 (2017), pp. 49-71.

Duy-Minh Dang and Luis Ortiz-Gracia, A dimension reduction Shannon-wavelet based method for option pricing, Journal of Scientific Computing (to appear)

Duy-Minh Dang, Ken Jackson, and Scott Sues, A dimension and variance reduction Monte Carlo method for pricing and hedging options under jump-diffusion models, Applied Mathematical Finance (to appear).

Edouard Berth, Duy-Minh Dang, and Luis Ortiz-Gracia, A Shannon wavelet method for foreign exchange options under the Heston multi-factor CIR model (submitted).