Duy-Minh Dang

Welcome!

I am currently an NSERC PostDoctoral Research Fellow at the David R. Cheriton School of Computer Science, University of Waterloo, working with Professor Peter Forsyth.

I completed my PhD in Computer Science at the Numerical Analysis and Scientific Computing Group, Department of Computer Science, University of Toronto. My PhD co-supervisors were Professors Christina Christara and Ken Jackson.

My research interests lie in computational finance:

PDE-based numerical methods for:

optimal stochastic control problems in finance
multi-asset options, exotic cross-currency/foreign-exchange interest rate derivatives

Adaptive mesh methods for pricing financial derivatives
Application of parallel computation, high performance computing (with strong focus on GPUs) to increase performance of numerical methods in finance
Recent project(s):

PDE methods on GPUs for pricing cross-currency interest rate derivatives with Target Redemption (TARN) features
For more information about my research, have look at my SSRN author page or here .

Slides from some of the presentations I have given are posted here.

Theses

2011

Modeling multi-factor financial derivatives by a Partial Differential Equation approach with efficient implementation on Graphics Processing Units
Duy Minh Dang (PhD Thesis, August 31, 2011)
Nominated for the 2012 Cecil Graham Doctoral Dissertation Award established by the Canadian Applied and Industrial Mathematics Society (CAIMS))

2007

Adaptive finite difference methods for valuing American options
Duy Minh Dang (MSc Thesis, August 31, 2007)

Research papers

2012

An efficient numerical PDE approach for pricing foreign exchange interest rate hybrid derivatives
Duy Minh Dang, Christina Christara, Ken Jackson and Asif Lakhany (To be submitted)

2011

An efficient GPU-based parallel algorithm for pricing multi-asset American options
Duy Minh Dang, Christina Christara and Ken Jackson (January 17, 2011)
To appear in the Special Issue of the Third Workshop on High Performance Computational Finance (WHPCF'10), Journal of Concurrency and Computation: Practice and Experience (CCPE))
[SSRN] [ BIB]
An ealier version of the paper is available in the proceedings of the workshop and can be found here (DOI:10.1109/WHPCF.2010.5671831).

2010

Pricing multi-asset American options on Graphics Processing Units using a PDE approach
Duy Minh Dang, Christina Christara and Ken Jackson (September 8, 2010)
(Proceedings of the International Conference for High Performance Computing, Networking, Storage, and Analysis 2010 (SC 10), the Third workshop on High Performance Computational Finance (WHPCF'10), New Orleans, USA, November 13--19, 2010)
[SSRN] [ BIB]

A PDE pricing framework for cross-currency interest rate derivatives with Target Redemption features
Christina Christara, Duy Minh Dang, Ken Jackson and Asif Lakhany (July 15, 2010)
(Proceedings of of the International Conference of Numerical Analysis and Applied Mathematics 2010 (ICNAAM 2010), Symposium in Computational Finance, Rhodes, Greece, September 19--25, 2010)
[SSRN] [BIB]

A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance
Duy Minh Dang, Christina Christara and Ken Jackson (March 28, 2010)
(Journal version: Canadian Applied Mathematics Quarterly, 17(4), 2009, pp. 627-659)
[SSRN] [BIB]

GPU pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model
Duy Minh Dang, Christina Christara and Ken Jackson (January 31, 2010)
(To appear in the Special Issue on "Computational Finance" of the Journal of Concurrency and Computation: Practice and Experience (CCPE))
[SSRN] [BIB]

2009

Adaptive and high-order methods for valuing American options
Christina Christara and Duy Minh Dang (December 28, 2009)
(Journal version: Journal of Computational Finance, 14(4), 2011, pp. 73-113)
[SSRN] [BIB]

Pricing of cross-currency interest rate derivatives on Graphics Processing Units
Duy Minh Dang (October 31, 2009)
(Proceedings of the IEEE International Parallel & Distributed Processing Symposium 2010 (IPDPS 2010), the Third International Workshop on Parallel and Distributed Computing in Finance, Atlanta, USA, April 19-23, 2010)
[SSRN] [BIB]

A PDE pricing framework for cross-currency interest rate derivatives
Duy Minh Dang, Christina Christara, Ken Jackson and Asif Lakhany (October 8, 2009)
(Best paper ``Green Group Award''- Proceedings of the International Conference In Computational Science 2010 (ICCS 2010), the Workshop on Computational Finance and Business Intelligence, Amsterdam, May 31 - June 2, 2010)
[SSRN] [BIB]

2008

Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
Christina Christara, Tong Chen and Duy Minh Dang (July 31, 2008)
(Journal of Numerical Algorithms, 53(4), 2010, pp. 511-553)
[SSRN] [BIB] [Journal page]

2007

Spline collocation for parabolic partial differential equations
Christina Christara, Tong Chen and Duy Minh Dang
(Proceedings of the 2007 Numerical Analysis Conference, Kalamata, Greece, September 3-7, 2007, pgs 45-50)

Selected presentations

Pricing multi-asset American options on Graphics Processing Units using a PDE a pproach (Nov 15, 2010) [PDF]
The Third Workshop on High Performance Computational Finance, The International Conference for High Performance Computing, Networking, Storage, and Analysis (SC 10), New Orleans, USA.

GPU pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model (Jun 24, 2010) [PDF]
The 6th World Congress of the Bachelier Finance Society, Toronto, Canada.

Pricing of cross-currency interest rate derivatives on Graphics Processing Units (April 23, 2010) [PDF]
The Third International Workshop on Parallel and Distributed Computing in Finance, IEEE International Parallel & Distributed Processing Symposium, Atlanta, USA.

A PDE pricing framework for cross-currency interest rate derivatives (June 1, 2010) [PDF]
Workshop on Computational Finance and Business Intelligence International Conference on Computational Science 2010 (ICCS 2010) Amsterdam, Netherland, 2010.

Students

Leslie Yang (4th year undergraduate, UTSC, now at the Bank of Montreal - BMO)
Robert Wang (formerly a CSCC51 student, now at the Bank of Montreal - BMO)

Awards

NSERC PostDoctoral Fellowship (2011-2013)
SIAM Student Travel Award, SIAM Conference on Financial Mathematics and Engineering (FM10), San Francisco, November 19-20, 2010
Best paper "Green Group Award'' , Workshop on Computational Finance and Business Intelligence, International Conference In Computational Science (ICCS), Amsterdam, May 31 - June 2, 2010.
Alexander Graham Bell Canada Graduate Scholarship (NSERC CGS D) (2009-2011)
NSERC Graduate Scholarship PGS M (2006-2007)
Ontario Graduate Scholarship (2005-2006, 2007-2008)
Ontario Graduate Scholarship (2006-2007, 2009-2010 - declined)
NSERC Undergraduate Research Scholarship USRA (Summer 2005)
University of Toronto Fellowship (2005 - 20010)

First prize, CSC2504--Computer Graphics Course Project Competition (Wooden Monkey Hall of Fame) (Graduate work, 2006)
(with Guohong Liu - now at Well Fargo)
Deans Honour List, Faculty of Arts and Science (2003-2005)
Woodsworth College Dorothy Walters Scholarship (2004-2005)
Coxeter Scholarship in Mathematics (2003-2004)
Trenwith Award in Computer Science (2003-2004)
Samuel Beatty Scholarship in Computer Science (2003-2004)

Teaching

Course Instructor (at the University of Waterloo)

CS335: Computational Methods in Business and Finance (Spring 2012)

Teaching assistant (at the University of Toronto)

CSC446/2310: Computational Methods for Partial Differential Equations (Winter 2011)
MMF2021: Numerical Methods for Finance (MMF Program) (Fall 2011, Falls 2009, 2010)
CSCC51: Numerical Approximation, Integration and Ordinary Differential Equations (UTSC) (Winter 2011, Winter 2010, Winter 2009, Winter 2008, Winter 2007)
CSCC50: Numerical Algebra and Optimization (UTSC) (Fall 2007, Fall 2008)
CSC351: Numerical Approximation, Integration and Ordinary Differential Equations (St.George) (Winter 2006, Winter 2007)
CSC363: Computational Complexity and Computability (St.George) (Summer 2006)
CSC260: Introduction to Scientific, Symbolic and Graphical Computation (St.George) (Fall 2005, Fall 2006)

Family Links

Emily